Trading activity and transaction costs in structured credit products

Hendrik Bessembinder, William F. Maxwell, Kumar Venkataraman

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

After conducting the first study of secondary trading in structured credit products, the authors report that the majority of products did not trade even once during the 21-month sample. Execution costs averaged 24 bps when trades occurred and were considerably higher for products with a greater proportion of retail-size trades. The authors estimate that the introduction of public trade reporting would decrease trading costs in retail-oriented products by 5-7 bps.

Original languageEnglish (US)
Pages (from-to)55-67
Number of pages13
JournalFinancial Analysts Journal
Volume69
Issue number6
DOIs
StatePublished - Nov 2013
Externally publishedYes

Fingerprint

Transaction costs
Trading activity
Credit
Retail
Trade size
Trading costs
Proportion
Execution costs

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics

Cite this

Trading activity and transaction costs in structured credit products. / Bessembinder, Hendrik; Maxwell, William F.; Venkataraman, Kumar.

In: Financial Analysts Journal, Vol. 69, No. 6, 11.2013, p. 55-67.

Research output: Contribution to journalArticle

Bessembinder, Hendrik ; Maxwell, William F. ; Venkataraman, Kumar. / Trading activity and transaction costs in structured credit products. In: Financial Analysts Journal. 2013 ; Vol. 69, No. 6. pp. 55-67.
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