Municipal Bond Liquidity

  title={Municipal Bond Liquidity},
  author={L. Harris and M. Piwowar},
  journal={American Finance Association Meetings (AFA)},
Using new econometric methods, we separately estimate average transaction costs, as a function of trade size, for over 167,000 bonds from a one-year sample of all U.S. municipal bond trades. Unlike in equities, municipal bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Municipal bond trades are also substantially more expensive than similar sized equity trades. We attribute these results to the general lack of price transparency in the bond… Expand
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