Quotation Friewald, Nils, Jankowitsch, Rainer, Subrahmanyam, Marti. 2017. Transparency and Liquidity in the Structured Product Market. Review of Asset Pricing Studies 7 (2), 316-348.


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Abstract

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the U.S. structured product market. Our main contribution is the analysis of the relation between accuracy in measuring liquidity and the level of detail of the trading data employed. We find evidence that, in general, liquidity measures that use dealer-specific information can be efficiently proxied by means of measures that use less detailed information. However, when the level of trading activity in individual securities or overall market activity is low, measures based on more detailed trading data permit a more precise assessment of liquidity. These results provide us with a better understanding of the information contained in disseminated OTC trading data, in general.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Review of Asset Pricing Studies
WU-Journal-Rating new FIN-A, WH-B
Language English
Title Transparency and Liquidity in the Structured Product Market
Volume 7
Number 2
Year 2017
Page from 316
Page to 348
Reviewed? Y
DOI https://doi.org/10.1093/rapstu/rax010

Associations

People
Jankowitsch, Rainer (Details)
External
Friewald, Nils (Norwegian School of Economics, Norway)
Subrahmanyam, Marti (New York University, United States/USA)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5305 Bank management (Details)
5307 Business and management economics (Details)
5360 Financial mathematics (Details)
5361 Financial management (Details)
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