Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations

Details

Serval ID
serval:BIB_AED4A61EDF81
Type
Article: article from journal or magazin.
Collection
Publications
Title
Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations
Journal
The Review of Financial Studies
Author(s)
Hollifield B., Neklyudov A., Spatt C.
ISSN
0893-9454
1465-7368
Publication state
Published
Issued date
03/04/2017
Peer-reviewed
Oui
Language
english
Abstract
The Financial Industry Regulatory Authority began collecting transaction data from broker-dealers in 2011 as a step toward enhancing its understanding of securitization markets. We use transaction data to document the importance of the interdealer network structure to market quality. Some dealers are relatively central in the network and trade with many dealers, while others are peripheral. Core dealers receive relatively lower and less dispersed spreads than peripheral dealers. We develop a model in which core and peripheral dealers trade with different customer clienteles and argue that the presence of relatively sophisticated customers in securitization markets explains these facts.
Create date
30/05/2017 15:49
Last modification date
21/08/2019 6:11
Usage data