Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations
利用美国金融业监管局2011年起收集的交易数据，研究证券化市场中交易商网络结构对市场质量的影响，发现核心交易商比外围交易商享有更低且更稳定的买卖价差，并构建模型解释这一现象。
The Financial Industry Regulatory Authority began collecting transaction data from broker-dealers in 2011 as a step toward enhancing its understanding of securitization markets. We use transaction data to document the importance of the interdealer network structure to market quality. Some dealers are relatively central in the network and trade with many dealers, while others are peripheral. Core dealers receive relatively lower and less dispersed spreads than peripheral dealers. We develop a model in which core and peripheral dealers trade with different customer clienteles and argue that the presence of relatively sophisticated customers in securitization markets explains these facts.