Publication Type
Journal Article
Version
publishedVersion
Publication Date
7-2019
Abstract
We examine the introduction of mandatory post-trade reporting in the To-Be-Announced mortgage-backed securities market. With post-trade reporting, trading costs fell for institutional investors. Trading costs declined more for investors’ trades with peripheral dealers than for their trades with core dealers. Peripheral dealers’ market share dropped after the introduction of post-trade reporting, suggesting that opacity was protecting inefficient high-cost dealers. Interdealer trades and volume declined as transparency made it easier to find natural counterparties. Relationships between dealers became less important and, after controlling for the number of trades, dealers used more counterparties in interdealer trades.
Keywords
Core-periphery, Dealer market, Mortgage backed securities, Transparency
Discipline
Finance
Research Areas
Finance
Areas of Excellence
Growth in Asia
Publication
Journal of Financial Economics
Volume
133
Issue
1
First Page
113
Last Page
133
ISSN
0304-405X
Identifier
10.1016/j.jfineco.2019.01.007
Publisher
Elsevier
Citation
SCHULTZ, Paul and SONG, Zhaogang.
Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market. (2019). Journal of Financial Economics. 133, (1), 113-133.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7932
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
External URL
https://api.elsevier.com/content/abstract/scopus_id/85059936341
Additional URL
https://doi.org/10.1016/j.jfineco.2019.01.007