Trading activity and transaction costs in structured credit products.

• Autores: Hendrik Bessembinder, Wiliiam F. Maxwell, Kumar Venkataraman
• Localización: Financial analysts journal, ISSN-e 0015-198X, Vol. 69, Nº. 6, 2013, págs. 55-67
• Idioma: inglés
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• Resumen

  • After conducting the first study of secondary trading in structured credit products, the authors report that the majority of products did not trade even once during the 21-month sample. Execution costs averaged 24 bps when trades occurred and were considerably higher for products with a greater proportion of retail-size trades. The authors estimate that the introduction of public trade reporting would decrease trading costs in retail-oriented products by 5-7 bps. [ABSTRACT FROM AUTHOR]