Choi, Jaewon; Huh, Yesol - 2017 - Current draft: October 2017
The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to … provide liquidity in corporate bond markets, and thus, average bid-ask spreads underestimate trading costs that customers … demanding liquidity pay. Compared with periods before the 2008 financial crisis, substantial amounts of liquidity provision have …