Corporate Bond Trading Costs: A Peek Behind the Curtain
利用机构公司债券交易数据，估算场外债券市场的交易成本，发现平均往返交易成本约为每100美元面值0.27美元，大额交易成本更低，小机构比大机构支付更多，小交易商比大交易商收费更高。
ABSTRACT In this paper, I use institutional corporate bond trade data to estimate transactions costs in the over‐the‐counter bond market. I find average round‐trip trading costs to be about $0.27 per $100 of par value. Trading costs are lower for larger trades. Small institutions pay more to trade than large institutions, all else being equal. Small bond dealers charge more than large ones. I find no evidence that trading costs more for lower‐rated bonds.