Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing?
研究发现市政债券零售定价差异大，交易商加价幅度不一，部分交易商采用策略性定价导致加价更高，而监管规则影响有限。
ABSTRACT Municipal bonds exhibit considerable retail pricing variation, even for same‐size trades of the same bond on the same day, and even from the same dealer. Markups vary widely across dealers. Trading strongly clusters on eighth price increments, and clustered trades exhibit higher markups. Yields are often lowered to just above salient numbers. Machine learning estimates exploiting the richness of the data show that dealers that use strategic pricing have systematically higher markups. Recent Municipal Securities Rulemaking Board rules have had only a limited impact on markups. While a subset of dealers focus on best execution, many dealers appear focused on opportunistic pricing.