Transparency and Liquidity in the Structured Product Market
| Title: | Transparency and Liquidity in the Structured Product Market |
|---|---|
| Authors: | Nils Friewald; Rainer Jankowitsch; Marti G. Subrahmanyam; Jel-classification G G |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Source: | http://pages.stern.nyu.edu/~msubrahm/papers/FINRA.pdf. |
| Publication Year: | 2012 |
| Collection: | CiteSeerX |
| Subject Terms: | liquidity; structured products; OTC markets; transparency; TRACE |
| Description: | We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the poten-tial degree of disclosure. We provide evidence that transaction cost measures that use dealer-specific information can be efficiently proxied by measures that use less detailed information. In addition, we analyze liquidity, in general, and show that securities that are mainly institutionally traded, guaranteed by a federal authority, or have low credit risk, tend to be more liquid. |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.475.6665; http://pages.stern.nyu.edu/~msubrahm/papers/FINRA.pdf |
| Availability: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.475.6665; http://pages.stern.nyu.edu/~msubrahm/papers/FINRA.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.B9B23946 |
| Database: | BASE |