【论文速递】2023-JF-Do Municipal Bond Dealers Give TheirCustomers “Fair and Reasonable” Pricing?

【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

获取地址：
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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.