复杂度
交易成本
外汇
样品(材料)
数据库事务
价格歧视
柜台外
业务
可变定价
经济
微观经济学
计量经济学
货币经济学
计算机科学
数据库
药理学
社会学
药方
医学
化学
色谱法
社会科学
作者
Harald Hau,Peter Hoffmann,Sam Langfield,Yannick Timmer
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2021-11-01
卷期号:67 (11): 6660-6677
被引量:38
标识
DOI:10.1287/mnsc.2020.3787
摘要
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. This paper was accepted by Haoxiang Zhu, finance.
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