Secondary Trading Costs in the Municipal Bond Market
用新计量方法估算美国市政债券的交易成本，发现成本随交易规模下降、与频率无关，且高于股票交易，归因于价格不透明；成本还随信用风险、复杂性和期限增加。
ABSTRACT Using new econometric methods, we separately estimate average transaction costs for over 167,000 bonds from a 1‐year sample of all U.S. municipal bond trades. Municipal bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, municipal bond trades are substantially more expensive than similar‐sized equity trades. We attribute these results to the lack of bond market price transparency. Additional cross‐sectional analyses show that bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler bonds.