Trading Activity and Transaction Costs in Structured Credit Products

Authors

Hendrik Bessembinder, Department of FinanceFollow
William F. Maxwell, Finance DepartmentFollow
Kumar Venkataraman, Finance DepartmentFollow

Publication Date

11-26-2012

Abstract

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.

Document Type

Article

Keywords

ABS, MBS, Structured Products, Transparency, mortgage-backed, asset-backed

Disciplines

Finance

DOI

10.2139/ssrn.2180961

Source

SMU Cox: Finance (Topic)

Language

English