Discriminatory Pricing of Over-the-Counter Derivatives
利用新监管数据首次精确衡量外汇衍生品市场中对非金融客户的价格歧视，发现客户成熟度越低，交易成本越高，但电子多交易商平台交易可消除歧视。
For the first time, new regulatory data allow precise measurement of price discrimination against nonfinancial clients in the foreign exchange derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication. The median client pays 10.9 pips more than blue-chip companies because of its lower level of sophistication, which compares with a sample average effective spread of 6.9 pips. However, price discrimination is fully eliminated when clients trade electronically on multidealer platforms. We also document that less sophisticated clients incur additional costs when trading with their relationship bank and in fast-moving markets, but only for bilaterally negotiated contracts. This paper was accepted by Haoxiang Zhu, finance.