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美国市政债二级市场交易透明度

来源:上海立信会计金融学院   点击率:
 

主题:美国市政债二级市场交易透明度

报告人:王直(Zhi Jay Wang

时间:20171219日(周二)9:30-11:00

地点:松江校区序伦大楼5楼会议室

报告人简介:

王直(Z. Jay Wang),美国俄勒冈大学金融学终身教授,美国国家经济研究局研究经济学家。研究领域:资产管理与机构投资者。王直教授科研成果丰富,在Journal of Financial and Quantitative AnalysisReview of Financial StudiesJournal of Financial Intermediation等核心期刊上发表了多篇论文,连续多年在美国中西部金融年会、美国会计学会年会、美国金融学会年会、财务管理协会年会、中国金融国际年会等国际大型会议上作会议报告,曾获20092010年《中国金融评论》最佳论文奖,2007年美国中西部金融年会金融机构最佳论文奖。王直教授是亚洲金融学会年会、美国中西部金融年会以及财务管理协会年会的会议组委会成员,曾多次担任大型国际会议的分会主席。

报告摘要:

We assess the impact of timely disclosure of trading efficiency in the secondary market for municipal bounds following the January 31, 2005 introduction of the Real-Time Transaction Reporting System(RTRS). The RTRS requires all municipal bond trades to be reported within 15 minutes of trading, a reduction from a one-day delay. Our results show that both large and small trades benefit from a significant reduction in overall trading costs and intro-day price dispersion. Overall trading costs decline by an average of 28 basis points, a 14% decline. This complements and contrasts with Schultz (2012) that finds no significant decline in trading costs in the primary market following the introduction of RTRS. We further decompose the components of trading costs into intermediation costs and dealers’ bargaining power. We find that retail investors benefit primarily from the reduction in intermediation costs,while average size institutions experience the largest reduction in bargaining power related costs.

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