TY  - UNPD
A1  - Friewald, Nils
A1  - Jankowitsch, Rainer
A1  - Subrahmanyam, Marti G.
T1  - To disclose or not to disclose: transparency and liquidity in the structured product market : [Version 5 Mai 2014]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 461
N2  - We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the potential degree of disclosure. Having access to all relevant trading information, we provide evidence that transaction cost measures that use dealer specific information such as trader identity and trade direction can be efficiently proxied by measures that use less detailed information. This finding is important for all market participants in the context of OTC markets, as it fosters our understanding of the information contained in transaction data. Thus, our results provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the structured product market in general and show that securities that are mainly institutionally traded, guaranteed by a federal authority, or have low credit risk, tend to be more liquid.
T3  - CFS working paper series - 461 
KW  - liquidity
KW  - structured products
KW  - OTC markets
KW  - transparency
KW  - TRACE
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34710
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-347100
UR  - https://www.ifk-cfs.de/2446.html
N1  - First Version: May 15, 2012. This Version: May 5, 2014
IS  - Version 5 Mai 2014
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -