GREEN, RICHARD C.; LI, DAN; SCHÜRHOFF, NORMAN - In: Journal of Finance 65 (2010) 5, pp. 1669-1702
We study price discovery in municipal bonds, an important OTC market. As in markets for consumer goods, prices "rise faster than they fall." Round-trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Further, effective half-spreads increase...