The difference a day makes: Timely disclosure and trading efficiency in the muni market

John Chalmers, Liu, Yu (Steve) and Z. Jay Wang

Journal of Financial Economics, 2021, vol. 139, issue 1, 313-335

Abstract: The Real-Time Transaction Reporting System (RTRS) reduced the delay in reporting municipal bond trades from one-day to 15 min. We find a significant reduction in secondary market trading costs after the introduction of the RTRS. Our estimates imply that retail investors benefited primarily from reduced dealer intermediation costs, while large trades benefited from reductions in bargaining costs. Bonds experienced increases in trading volume across the liquidity spectrum. We find higher dealer capital commitment, longer intermediation chains, and fewer pre-arranged trades, all suggesting increased market-making incentives for dealers. These results are largely consistent with predictions from search-based models.

Keywords: Transparency; Municipal market; Transaction costs; Trading volume; Market making (search for similar items in EconPapers)
JEL-codes: G14 G18 G28 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:139:y:2021:i:1:p:313-335

DOI: 10.1016/j.jfineco.2020.07.015

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