Hank Bessembinder, Chester Spatt and Kumar Venkataraman
Journal of Financial and Quantitative Analysis, Forthcoming
Publication year: 2019

This paper surveys the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products.  We compare and contrast the microstructure and regulation of fixed-income markets with equity markets.  We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically-facilitated intermediation. We discuss the databases available for the study of fixed-income microstructure, as well as measures of trading costs and the determinants thereof, and the important roles of dealer networks and limited transparency.  We also highlight unresolved issues.

Leave a Reply

Your email address will not be published. Required fields are marked *

Skip to toolbar