Hank Bessembinder, Chester Spatt and Kumar Venkataraman
Journal of Financial and Quantitative Analysis, Vol. 55, No. 1, Feb. 2020, pp. 1-45
Publication year: 2020

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.

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