| Title: |
Liquidity, transparency and disclosure in the securitized product market. Working paper |
| Authors: |
Nils Friewald; Rainer Jankowitsch; Marti G. Subrahmanyam; Jel-classification G G |
| Contributors: |
The Pennsylvania State University CiteSeerX Archives |
| Source: |
http://people.stern.nyu.edu/msubrahm/papers/FINRA.pdf. |
| Publication Year: |
2012 |
| Collection: |
CiteSeerX |
| Subject Terms: |
liquidity; securitized products; OTC markets; transparency; TRACE |
| Description: |
We analyze liquidity effects in the US fixed-income securitized product market using a new TRACE data-set compiled by the Financial Industry Regulatory Authority (FINRA), containing all transactions between May 16, 2011 and February 29, 2012. Employing a wide range of liquidity proxies proposed in the academic literature, we find that the average transaction cost of a round-trip trade is around 66 bp and that liquidity is quite diverse in the different market segments. In particular, we find that securities that are mainly institutionally traded, issued by a federal authority, or with low credit risk, tend to be more liquid. Our main contribution is the analysis of the relation between the measurement of liquidity and the disclosure of information. We compare liquidity measures which are based on various information sets using different levels of detail and provide evidence that transaction cost measures computed at a more aggregate level may still be reasonable proxies for liquidity. This finding is important for all market participants in the context of OTC markets, but particularly for regulators, who need to decide on the level of detail of the transaction data to be disseminated to the market. |
| Document Type: |
text |
| File Description: |
application/pdf |
| Language: |
English |
| Relation: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.352.6073; http://people.stern.nyu.edu/msubrahm/papers/FINRA.pdf |
| Availability: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.352.6073; http://people.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.CD18F908 |
| Database: |
BASE |