IDEAS home Printed from https://ideas.repec.org/a/oup/rfinst/v30y2017i9p3048-3085..html
   My bibliography  Save this article

Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations

Author

Listed:
  • Burton Hollifield
  • Artem Neklyudov
  • Chester Spatt

Abstract

The Financial Industry Regulatory Authority began collecting transaction data from broker-dealers in 2011 as a step toward enhancing its understanding of securitization markets. We use transaction data to document the importance of the interdealer network structure to market quality. Some dealers are relatively central in the network and trade with many dealers, while others are peripheral. Core dealers receive relatively lower and less dispersed spreads than peripheral dealers. We develop a model in which core and peripheral dealers trade with different customer clienteles and argue that the presence of relatively sophisticated customers in securitization markets explains these facts.Received June 23, 2015; editorial decision December 20, 2016 by Editor Andrew Karolyi.

Suggested Citation

  • Burton Hollifield & Artem Neklyudov & Chester Spatt, 2017. "Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations," The Review of Financial Studies, Society for Financial Studies, vol. 30(9), pages 3048-3085.
    • Handle: RePEc:oup:rfinst:v:30:y:2017:i:9:p:3048-3085.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rfs/hhx027
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:30:y:2017:i:9:p:3048-3085.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sfsssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.