In the literature, there is no consensus on a common approach to measure bond liquidity.
This paper is the first to comprehensively compare all commonly employed liquidity …

The Financial Industry Regulatory Authority began collecting transaction data from broker-
dealers in 2011 as a step toward enhancing its understanding of securitization markets. We …

We use proprietary transaction data on interest rate swaps to assess the effects of
centralized trading, as mandated by Dodd–Frank, on market quality. Contracts with the most …

Agency mortgage‐backed securities (MBS) trade simultaneously in a market for specified
pools (SPs) and in the to‐be‐announced (TBA) forward market. TBA trading creates liquidity …

Abstract The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate
(Euribor) are two key benchmark interest rates used in a plethora of financial contracts. The …

Agency mortgage‐backed securities (MBSs) with diverse characteristics are traded in
parallel through individualized specified pool (SP) contracts and standardized to‐be …

We develop and empirically test a theory of optimal security design under adverse selection
accounting for strategic trading by uninformed investors who will liquidate a security in …

Mortgage dollar roll, the most common financing strategy for agency MBS, differs from repo
in that the returned collateral can differ from those received. Also, MBS ownership changes …

We study the drivers and pricing of liquidity in the Chinese credit bond markets. We
document that the liquidity and liquidity effects priced into yield spreads differ significantly …

We develop a theory of financial innovation in which both market structure and the payoffs of
the claims being traded are determined endogenously. Intermediaries use the cash flows of …