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Click or Call? Auction versus Search in the Over-the-Counter Market
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Cited by:
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020.
"Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes,"
Working Papers
05/2020, University of Verona, Department of Economics.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020. "Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes," GREDEG Working Papers 2020-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Giuseppe Attanasi & Samuele Centorrino & Elena Manzoni, 2020. "Zero-Intelligence vs. Human Agents: An Experimental Analysis of the Efficiency of Double Auctions and Over-the-Counter Markets of Varying Sizes," Department of Economics Working Papers 20-04, Stony Brook University, Department of Economics.
- Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
- Darrell Duffie, 2018.
"Financial Regulatory Reform After the Crisis: An Assessment,"
Management Science, INFORMS, vol. 64(10), pages 4835-4857, October.
- Duffie, Darrell, 2016. "Financial Regulatory Reform after the Crisis: An Assessment," Research Papers 3440, Stanford University, Graduate School of Business.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory Pricing of Over-The-Counter Derivatives," CEPR Discussion Papers 12525, C.E.P.R. Discussion Papers.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017. "Discriminatory Pricing of Over-the-Counter Derivatives," Swiss Finance Institute Research Paper Series 17-70, Swiss Finance Institute.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
- Jason Allen & Milena Wittwer, 2023.
"Centralizing Over-the-Counter Markets?,"
Journal of Political Economy, University of Chicago Press, vol. 131(12), pages 3310-3351.
- Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
- Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024.
"Size Discount and Size Penalty: Trading Costs in Bond Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
- Gábor Pintér & Chaojun Wang & Junyuan Zou, 2021. "Size Discount and Size Penalty Trading Costs in Bond Markets," Discussion Papers 2114, Centre for Macroeconomics (CFM).
- Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Size discount and size penalty: trading costs in bond markets," Bank of England working papers 970, Bank of England.
- Benjamin Lester & Guillaume Rocheteau & Pierre‐Olivier Weill, 2015.
"Competing for Order Flow in OTC Markets,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S2), pages 77-126, June.
- Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014. "Competing for order flow in OTC markets," Working Papers 14-9, Federal Reserve Bank of Philadelphia.
- Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2015. "Competing for Order Flow in OTC Markets," Post-Print hal-04149211, HAL.
- Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014. "Competing for Order Flow in OTC Markets," NBER Working Papers 20608, National Bureau of Economic Research, Inc.
- Lannoo, Karel & Thomadakis, Apostolos, 2020. "Derivatives in Sustainable Finance," ECMI Papers 29791, Centre for European Policy Studies.
- Cici, Gjergji & Schuster, Philipp & Weishaupt, Franziska, 2024. "Once a trader, always a trader: The role of traders in fund management," CFR Working Papers 24-01, University of Cologne, Centre for Financial Research (CFR).
- O'Hara, Maureen & Alex Zhou, Xing, 2021. "The electronic evolution of corporate bond dealers," Journal of Financial Economics, Elsevier, vol. 140(2), pages 368-390.
- Czupryna Marcin & Oleksy Paweł, 2018. "The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 22-35, December.
- Martin Lettau & Ananth Madhavan, 2018.
"Exchange-Traded Funds 101 for Economists,"
Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 135-154, Winter.
- Lettau, Martin & Madhavan, Ananth, 2018. "Exchange Traded Funds 101 For Economists," CEPR Discussion Papers 12629, C.E.P.R. Discussion Papers.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
- Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017.
"Scarcity effects of QE: A transaction-level analysis in the Bund market,"
Discussion Papers
06/2017, Deutsche Bundesbank.
- Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
- Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "Price impact without order book: A study of the OTC credit index market," Papers 1609.04620, arXiv.org.
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019.
"OTC discount,"
Discussion Papers
42/2019, Deutsche Bundesbank.
- de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
- O’ Hara, Maureen & Wang, Yihui & (Alex) Zhou, Xing, 2018. "The execution quality of corporate bonds," Journal of Financial Economics, Elsevier, vol. 130(2), pages 308-326.
- Asriyan, Vladimir & Fuchs, William & Green, Brett, 2021.
"Aggregation and design of information in asset markets with adverse selection,"
Journal of Economic Theory, Elsevier, vol. 191(C).
- Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Aggregation and Design of Information in Asset Markets with Adverse Selection," Working Papers 979, Barcelona School of Economics.
- Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Aggregation and design of information in asset markets with adverse selection," Economics Working Papers 1573, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2019.
- Ari Kutai & Daniel Nathan & Milena Wittwer, 2024. "Exchanges for government bonds? Evidence during COVID-19," Bank of Israel Working Papers 2024.03, Bank of Israel.
- Attanasi, Giuseppe & Centorrino, Samuele & Moscati, Ivan, 2016.
"Over-the-counter markets vs. double auctions: A comparative experimental study,"
Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 63(C), pages 22-35.
- Giuseppe Attanasi & Samuele Centorrino & Ivan Moscati, 2014. "Over-the-Counter Markets vs Double Auctions: A Comparative Experimental Study," Department of Economics Working Papers 14-06, Stony Brook University, Department of Economics.
- Stefan J. Huber & Chongho Kim & Edward M. Watts, 2024. "Earnings News and Over‐the‐Counter Markets," Journal of Accounting Research, Wiley Blackwell, vol. 62(2), pages 701-735, May.
- Goldstein, Michael A. & Hotchkiss, Edith S., 2020. "Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 16-40.
- Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2020.
"Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 159-192, February.
- Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2016. "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England working papers 580, Bank of England.
- Bulusu, Narayan & Guérin, Pierre, 2019.
"What drives interbank loans? Evidence from Canada,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 427-444.
- Narayan Bulusu & Pierre Guérin, 2018. "What Drives Interbank Loans? Evidence from Canada," Staff Working Papers 18-5, Bank of Canada.
- Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020.
"Effective risk aversion in thin risk‐sharing markets,"
Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
- Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2017. "Effective risk aversion in thin risk-sharing markets," Papers 1707.05096, arXiv.org, revised Jun 2018.
- Anthropelos, Michail & Kardaras, Constantinos & Vichos, Georgios, 2020. "Effective risk aversion in thin risk-sharing markets," LSE Research Online Documents on Economics 102275, London School of Economics and Political Science, LSE Library.
- Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
- John M. Griffin & Nicholas Hirschey & Samuel Kruger, 2023. "Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing?," Journal of Finance, American Finance Association, vol. 78(2), pages 887-934, April.
- Hasan Dinçer & Serhat Yüksel & Fatih Pınarbaşı & Mehmet Ali Alhan, 2020. "Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 6, pages 133-159, World Scientific Publishing Co. Pte. Ltd..
- Arun Chandrasekhar & Robert Townsend & Juan Pablo Pablo Xandri, 2019. "Financial Centrality and the Value of Key Players," Working Papers 2019-26, Princeton University. Economics Department..
- Karamfil Todorov, 2021. "The anatomy of bond ETF arbitrage," BIS Quarterly Review, Bank for International Settlements, March.
- Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
- Reed, Adam V. & Samadi, Mehrdad & Sokobin, Jonathan S., 2020. "Shorting in Broad Daylight: Short Sales and Venue Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2246-2269, November.
- Hendershott, Terrence & Li, Dan & Livdan, Dmitry & Schürhoff, Norman, 2024. "When failure is an option: Fragile liquidity in over-the-counter markets," Journal of Financial Economics, Elsevier, vol. 157(C).
- Cole, Brittany M. & Gullett, Nell S. Gullett, 2024. "The Value of Corporate Bond Listing," MPRA Paper 120601, University Library of Munich, Germany, revised 27 Mar 2024.
- James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022. "Secondary Market Transparency and Corporate Bond Issuing Costs [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, vol. 26(1), pages 43-77.
- Bulusu, Narayan, 2024. "Disentangling the supply and announcement effects of open market operations," Journal of Financial Markets, Elsevier, vol. 67(C).
- Eric Budish & Robin S. Lee & John J. Shim, 2024.
"A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?,"
Journal of Political Economy, University of Chicago Press, vol. 132(4), pages 1209-1246.
- Eric Budish & Robin S. Lee & John J. Shim, 2019. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," NBER Working Papers 25855, National Bureau of Economic Research, Inc.
- Budish, Eric B. & Lee, Robin S. & Shim, John J., 2020. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Working Papers 301, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Su, Tong & Lin, Boqiang, 2022. "The liquidity impact of Chinese green bonds spreads," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 318-334.
- Riggs, Lynn & Onur, Esen & Reiffen, David & Zhu, Haoxiang, 2020. "Swap trading after Dodd-Frank: Evidence from index CDS," Journal of Financial Economics, Elsevier, vol. 137(3), pages 857-886.
- O'Hara, Maureen & Zhou, Xing (Alex), 2021. "Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis," Journal of Financial Economics, Elsevier, vol. 142(1), pages 46-68.
- Hincapié-Salazar, Juliana & Agudelo, Diego A., 2020. "Is the disposition effect in bonds as strong as in stocks? Evidence from an emerging market," Global Finance Journal, Elsevier, vol. 46(C).
- Schürhoff, Norman & Hendershott, Terrence & Livdan, Dmitry & Li, Dan, 2020.
"True Cost of Immediacy,"
CEPR Discussion Papers
15205, C.E.P.R. Discussion Papers.
- Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020. "True Cost of Immediacy," Swiss Finance Institute Research Paper Series 20-71, Swiss Finance Institute.
- Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
- Hugues Dastarac, 2020. "Market Making and Proprietary Trading in the US Corporate Bond Market," Working papers 754, Banque de France.
- Arun G. Chandrasekhar & Robert Townsend & Juan Pablo Xandri, 2018. "Financial Centrality and Liquidity Provision," NBER Working Papers 24406, National Bureau of Economic Research, Inc.
- Morten Linnemann Bech & Anamaria Illes & Ulf Lewrick & Andreas Schrimpf, 2016. "Hanging up the phone - electronic trading in fixed income markets and its implications," BIS Quarterly Review, Bank for International Settlements, March.
- Chen, Fan & Zhong, Zhuo, 2017. "Pre-trade transparency in over-the-counter bond markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 14-33.
- Matthew L. Kozora & Bruce Mizrach & Matthew Peppe & Or Shachar & Jonathan S. Sokobin, 2020. "Alternative Trading Systems in the Corporate Bond Market," Staff Reports 938, Federal Reserve Bank of New York.
- Mike Weber & Iuliia Manziuk & Bastien Baldacci, 2021. "Liquidity Stress Testing using Optimal Portfolio Liquidation," Papers 2102.02877, arXiv.org.
- Rhodes, Meredith E. & Mason, Joseph R., 2023. "ETF ownership and firm-specific information in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 63(C).
- Simon Jurkatis & Andreas Schrimpf & Karamfil Todorov & Nicholas Vause, 2023.
"Relationship discounts incorporate bond trading,"
BIS Working Papers
1140, Bank for International Settlements.
- Jurkatis, Simon & Schrimpf, Andreas & Todorov, Karamfil & Vause, Nick, 2024. "Relationship Discounts in Corporate Bond Trading," CEPR Discussion Papers 18784, C.E.P.R. Discussion Papers.
- Jurkatis, Simon & Schrimpf, Andreas & Todorov, Karamfil & Vause, Nicholas, 2023. "Relationship discounts in corporate bond trading," Bank of England working papers 1049, Bank of England.
- Wang, Xinjie & (Ken) Zhong, Zhaodong, 2022. "Post-crisis regulations, market making, and liquidity in over-the-counter markets," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Francesco Trebbi & Kairong Xiao, 2019.
"Regulation and Market Liquidity,"
Management Science, INFORMS, vol. 67(5), pages 1949-1968, May.
- Francesco Trebbi & Kairong Xiao, 2015. "Regulation and Market Liquidity," NBER Working Papers 21739, National Bureau of Economic Research, Inc.
- Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2022.
"Transaction cost analytics for corporate bonds,"
Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1295-1319, July.
- Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2019. "Transaction Cost Analytics for Corporate Bonds," Papers 1903.09140, arXiv.org, revised Dec 2021.
- Di Maggio, Marco & Kermani, Amir & Song, Zhaogang, 2017. "The value of trading relations in turbulent times," Journal of Financial Economics, Elsevier, vol. 124(2), pages 266-284.
- Jon H. Findreng, 2021. "Peer Monitoring vs. Search Costs in the Interbank Market: Evidence from Payment Flow Data in Norway," Working Paper 2021/2, Norges Bank.
- Holden, Craig W. & Lu, Dong & Lugovskyy, Volodymyr & Puzzello, Daniela, 2021. "What is the impact of introducing a parallel OTC market? Theory and evidence from the chinese interbank FX market," Journal of Financial Economics, Elsevier, vol. 140(1), pages 270-291.
- Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
- Narayan Bulusu & Sermin Gungor, 2021. "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and securities lending markets," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(2), pages 557-581, May.
- Lu, Dong & Zhan, Yaosong, 2022. "Over-the-counter versus double auction in asset markets with near-zero-intelligence traders," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Adrian, Tobias & Kiff, John & Shin, Hyun Song, 2018. "Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis," CEPR Discussion Papers 13350, C.E.P.R. Discussion Papers.
- Narayan Bulusu, 2020. "Why Do Central Banks Make Public Announcements of Open Market Operations?," Staff Working Papers 20-35, Bank of Canada.
- Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
- Khan, Muhammad Zubair & Khan, Zafir Ullah & Hameed, Affan & Zada, Shehnaz Sahib, 2021. "On the upside or flipside: Where is venture capital positioned in the era of digital disruptions?," Technology in Society, Elsevier, vol. 65(C).