Transparency and Liquidity in the Structured Product Market by Nils Friewald, Rainer Jankowitsch, Marti G. Subrahmanyam :: SSRN
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We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the potential degree of disclosure. We provide evidence that transaction cost measures that use dealer-specific information can be efficiently proxied by measures that use less detailed information. In addition, we analyze liquidity, in general, and show that securities that are mainly institutionally traded, guaranteed by a federal authority, or have low credit risk, tend to be more liquid.
Keywords: liquidity, structured products, OTC markets, transparency, TRACE
Friewald, Nils and Jankowitsch, Rainer and Subrahmanyam, Marti G., Transparency and Liquidity in the Structured Product Market (October 15, 2014). Available at SSRN: https://ssrn.com/abstract=2139310 or http://dx.doi.org/10.2139/ssrn.2139310