Discriminatory Pricing of Over-the-Counter Derivatives
Published Online:22 Mar 2021https://doi.org/10.1287/mnsc.2020.3787
References
- (2016) Shedding light on dark markets: First insights from the new EU-wide OTC derivatives data set. Occasional Paper 11, European Systemic Risk Board, Frankfurt am Main, Germany.Google Scholar
- (2017) Dealer balance sheets and bond liquidity provision. J. Monetary Econom. 89:92–109.Crossref, Google Scholar
- (2013) Trading partners in the interbank lending market. Staff Report 620, Federal Reserve Bank of New York, New York.Crossref, Google Scholar
- (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J. Finance 23(4):589–609.Crossref, Google Scholar
- (2012) Counterparty credit risk and the credit default swap market. J. Financial Econom. 103(2):280–293.Crossref, Google Scholar
- Bank for International Settlements (2016) Electronic trading in fixed income markets. Accessed Oct 6, 2020, https://www.bis.org/publ/mktc07.pdf.Google Scholar
- Bank for International Settlements (2019) Triennial Central Bank Survey - Global foreign exchange market turnover in 2019. Accessed Oct 6, 2020, https://www.bis.org/statistics/rpfx19_fx_annex.pdf.Google Scholar
- (2020) Centralized trading, transparency and interest rate swap market liquidity: Evidence from the implementation of the Dodd-Frank Act. J. Financial Quant. Anal. 55(1):159–192.Crossref, Google Scholar
- (2004) Why do larger orders receive discounts on the London Stock Exchange? Rev. Financial Stud. 18(4):1343–1368.Crossref, Google Scholar
- (2006) Market transparency, liquidity externalities, and institutional trading costs in corporate bonds. J. Financial Econom. 82(2):251–288.Crossref, Google Scholar
- (2009) Lending relationships in the interbank market. J. Financial Intermediation 18(1):24–48.Crossref, Google Scholar
- (2020) Market structure and transaction costs of index CDSs. J. Finance 75(5):2719–2763.Crossref, Google Scholar
- (2017) The value of trading relations in turbulent times. J. Financial Econom. 124(2):266–284.Crossref, Google Scholar
- (2018) Deviations from covered interest rate parity. J. Finance 73(3):915–957.Crossref, Google Scholar
- (2016) Counterparty risk and counterparty choice in the credit default swap market. Finance and Economics Discussion Series 087, Federal Reserve Board, Washington D.C.Google Scholar
- (2012) Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
- (2017) Benchmarks in search markets. J. Finance 72(5):1983–2044.Crossref, Google Scholar
- (2005) Over-the-counter markets. Econometrica 73(6):1815–1847.Crossref, Google Scholar
- (2015) Dealer intermediation between markets. J. Eur. Econom. Assoc. 13(5):770–804.Crossref, Google Scholar
- (2007) Corporate bond market transaction costs and transparency. J. Finance 62(3):1421–1451.Crossref, Google Scholar
- (1999) Quote disclosure and price discovery in multiple-dealer financial markets. Rev. Financial Stud. 12(1):37–59.Crossref, Google Scholar
- (2006) Transparency and liquidity: A controlled experiment on corporate bonds. Rev. Financial Stud. 20(2):235–273.Crossref, Google Scholar
- (2008) Sticky borders. Quart J. Econom. 123(2):531–575.Crossref, Google Scholar
- (2019) The causal impact of regulation on bank trading: Evidence from over-the-counter derivatives. Accessed Oct 6, 2020, https://hdl.handle.net/1721.1/124590.Google Scholar
- (2007) Dealer intermediation and price behavior in the aftermarket for new bond issues. J. Financial Econom. 86(3):643–682.Crossref, Google Scholar
- (2010) Price discovery in illiquid markets: Do financial asset prices rise faster than they fall? J. Finance 65(5):1669–1702.Crossref, Google Scholar
- (2003) How much do firms hedge with derivatives? J. Financial Econom. 70(3):423–461.Crossref, Google Scholar
- (2006) Secondary trading costs in the municipal bond market. J. Finance 61(3):1361–1397.Crossref, Google Scholar
- (2015) Click or call? Auction vs. search in the over-the-counter market. J. Finance. 70(1):419–447.Crossref, Google Scholar
- (2020) Relationship trading in OTC markets. J. Finance 75(2):683–734.Crossref, Google Scholar
- (2015) Understanding FX liquidity. Rev. Financial Stud. 28(11):3073–3108.Crossref, Google Scholar
- (2014) The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market. J. Financial Econom. 112(1):91–115.Crossref, Google Scholar
- (2016) Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports. J. Financial Econom. 119(3):645–672.Crossref, Google Scholar
- (1993) On the determinants of corporate hedging. J. Finance 48(1):267–284.Crossref, Google Scholar
- (2018) The execution quality of corporate bonds. J. Financial Econom. 130(2):308–326.Crossref, Google Scholar
- (2016) Bid-ask spreads in OTC markets. Working Paper 102, Brandeis University, Waltham, MA.Google Scholar
- (2000) Prices rise faster than they fall. J. Political Econom. 108(3):466–502.Crossref, Google Scholar
- (2020) Swap trading after Dodd-Frank: Evidence from index CDS. J. Financial Econom. 137(3):857–886.Crossref, Google Scholar
- (2019) FX trade execution: Complex and highly fragmented. BIS Quart. Rev. 2019(December):39–51.Google Scholar
- (2001) Corporate bond trading costs: A peek behind the curtain. J. Finance 56(2):677–698.Crossref, Google Scholar
- (1989) Oligopolistic pricing with sequential consumer search. Amer. Econom. Rev. 79(4):700–712.Google Scholar

