TY  - UNPD
A1  - Roure, Calebe de
A1  - Mönch, Emanuel
A1  - Pelizzon, Loriana
A1  - Schneider, Michael
T1  - OTC discount
T2  - SAFE working paper series ; No. 298
N2  - We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vastmajority of OTC prices are favorable with respect to exchange quotes. This is a challenge for theories of OTC markets centered around search frictions but consistent with models of hybrid markets based on information frictions. We show empiricallythat proxies for both frictions determine variation in the discount, which is largely passed on to customers. Dealers trade on the exchange for immediacy and via brokers for opacity and anonymity, highlighting the complementary roles played by the di↵erent protocols.
T3  - SAFE working paper - 298 
KW  - Market Microstructure
KW  - Hybrid Markets
KW  - Venue Choice
KW  - Interdealer Brokerage
KW  - Fixed-Income
KW  - OTC Markets
KW  - Search Frictions
KW  - Information Frictions
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/55569
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-555699
VL  - 81
IS  - December 7, 2020
PB  - SAFE
CY  - Frankfurt am Main
ER  -