市政债券存在显著的价格差异，即使在同一天相同债券的同类交易中。经销商的标记价差广泛不同，交易集中在八分之一价格增量上，这种集中交易的利润率更高。经销商使用战略定价时，机器学习估计显示其利润率系统性更高。尽管市政证券规则制定委员会的recentrules对标记价有有限影响，但一部分经销商专注于最佳执行，而许多经销商似乎侧重于机会主义定价。
【论文原文】：Do Municipal Bond Dealers Give TheirCustomers “Fair and Reasonable” Pricing?
【作者信息】：JOHN M. GRIFFIN, NICHOLAS HIRSCHEY, and SAMUEL KRUGER
. (2023). Do Municipal Bond Dealers Give TheirCustomers “Fair and Reasonable” Pricing？[J].THE JOURNAL OF FINANCE
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https://doi.org/10.1111/jofi.13214
博主关键词：Municipal Bond
摘要：
Municipal bonds exhibit considerable retail pricing variation, even for same-size trades of the same bond on the same day, and even from the same dealer. Markups vary widely across dealers. Trading strongly clusters on eighth price increments, and clustered trades exhibit higher markups. Yields are often lowered to just above salient numbers. Machine learning estimates exploiting the richness of the data show that dealers that use strategic pricing have systematically higher markups. Recent Municipal Securities Rulemaking Board rules have had only a limited impact on markups. While a subset of dealers focus on best execution, many dealers appear focused on opportunistic pricing.
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