Information and Liquidity of OTC Securities: Evidence from Public Registration of Rule 144A Bonds

Song Han, Alan G. Huang, Madhu Kalimipalli and Ke Wang
Additional contact information
Ke Wang: https://www.federalreserve.gov/econres/ke-wang.htm

No 2018-061, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: The Rule 144A private debt represents a significant and growing segment of the U.S. bond market. This paper examines the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using the regulatory version of TRACE data for the period 2002-2013, we find that following public registration of 144A bonds, dealer-specific effective bid-ask spreads narrow, especially for issues with higher ex-ante information asymmetry. Our results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity.

Keywords: Rule 144A bond; Public registration; Information disclosure; Broker-dealers; Liquidity (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2018-08-30
New Economics Papers: this item is included in nep-cfn and nep-mst
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2018-61

DOI: 10.17016/FEDS.2018.061

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