Size Discount and Size Penalty: Trading Costs in Bond Markets
研究发现政府债券市场中大额交易享有更低的交易成本（规模折扣），但控制客户身份后交易成本随规模增加（规模惩罚），前者源于大客户获得更优价格，后者在公司债、宏观冲击和疫情期间更显著。
Abstract We show that larger trades incur lower trading costs in government bond markets (“size discount”), but costs increase in trade size after controlling for client identity (“size penalty”). The size discount is driven by the cross-client variation of larger traders obtaining better prices, consistent with theories of trading with imperfect competition. The size penalty, driven by the within-client variation, is larger for corporate bonds, during major macroeconomic surprises and during COVID-19. These differences are larger among more sophisticated clients, consistent with information-based theories.