主題：The Effects of Transparency on Trading Profits and Price Informativeness: Evidence from Corporate Bonds (價格透明度對交易利潤和價格信息量的影響——來自公司債市場的證據）

主講人：Michael Schwert，賓夕法尼亞大學沃頓商學院金融學助理教授

日期：2019年5月15（周三） 

時間：上午10:00-11:30 

地點：清華Betvictor中文版4号樓102教室

語言：英文 

摘要: 

This paper examines the effects of post-trade price transparency on the allocation of trading surplus in the corporate bond market. Using the introduction of TRACE as a natural experiment, we show that dealer profits are unconditionally lower when trade prices are disseminated. However, conditional on facing a customer imbalance, dealers perform better when trades are published because they can use that information to adjust prices more quickly to their future level. We provide evidence that prices are less informative after TRACE, consistent with price transparency reducing incentives for informed traders to participate in the market.

主講人簡介: 

Michael Schwert is an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania. His research focuses on frictions in the debt markets and their effects on asset prices and the behavior of borrowers and lenders. He received his PhD from Stanford Graduate School of Business.