TY - JOUR
T1 - Trading activity and transaction costs in structured credit products
AU - Bessembinder, Hendrik
AU - Maxwell, William F.
AU - Venkataraman, Kumar
PY - 2013/11
Y1 - 2013/11
N2 - 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.
AB - 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.
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U2 - 10.2469/faj.v69.n6.2
DO - 10.2469/faj.v69.n6.2
M3 - Article
AN - SCOPUS:84891823257
SN - 0015-198X
VL - 69
SP - 55
EP - 67
JO - Financial Analysts Journal
JF - Financial Analysts Journal
IS - 6
ER -