This paper investigates how mandatory post-trade market transparency affects pricing efficiency in the corporate bond market. Using the phase implementation of TRACE and a differences-in-differences research design, we find that higher transparency leads to a shorter return drift and a lower price delay, which indicates faster information incorporation of prices. These effects are similar between bonds with low and high liquidity and between bonds with low and high trading activity. In addition, higher market transparency is associated with fewer bond analyst reports and a higher co-movement between individual bond return and market return, which is consistent with a reduction in information collection incentives. These results highlight the importance of market transparency on the information efficiency in financial markets.
Keywords: Market Transparency, Pricing Efficiency, TRACE, Corporate Bond, Comovement
학술대회/행사
학술대회 및 야외답사
학술대회/행사
[2016년 제 4차] Market Transparency and Pricing Efficiency: Evidenc
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게시일 :
2016-12-21