Corporate Bond Market Transaction Costs and Transparency
利用2003至2005年美国场外公司债券交易数据，发现交易成本随交易规模增大而显著下降，且高评级、新发行或临近到期的债券成本更低；价格透明能降低成本，TRACE系统公开价格后成本进一步下降，表明公开交易者从价格透明中获益。
ABSTRACT Using a complete record of U.S. over‐the‐counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nine times between January 2003 and January 2005. We find that transaction costs decrease significantly with trade size. Highly rated bonds, recently issued bonds, and bonds close to maturity have lower transaction costs than do other bonds. Costs are lower for bonds with transparent trade prices, and they drop when the TRACE system starts to publicly disseminate their prices. The results suggest that public traders benefit significantly from price transparency.