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Discriminatory Pricing of Over-the-Counter Derivatives

For the first time, new regulatory data allow precise measurement of price discrimination against nonfinancial clients in the foreign exchange derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication. The median client pays 10.9 pips more than blue-chip companies because of its lower level of sophistication, which compares with a sample average effective spread of 6.9 pips. However, price discrimination is fully eliminated when clients trade electronically on multidealer platforms. We also document that less sophisticated clients incur additional costs when trading with their relationship bank and in fast-moving markets, but only for bilaterally negotiated contracts.

Ketersediaan

Informasi Detail

Judul Seri

MANAGEMENT SCIENCE; Vol.67 No.11 November 2021

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 6660 - 6677

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

TRANSACTION COSTS
OTC MARKETS
MULTI-DEALER PLATFORMS
RELATIONSHIP TRADING

Info Detail Spesifik

https://doi.org/10.1287/mnsc.2020.3787

Pernyataan Tanggungjawab

Harald Hau, Peter Hoffmann, Sam Langfield, Yannick Timmer

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