Why do dealers buy high and sell low? An analysis of persistent crossing in extremely segmented markets
We find that small buy trades of US agency mortgage-backed securities (MBS) are priced 3–
8% lower than large sell trades. No such “crossing” exists in corporate bonds and agency …
8% lower than large sell trades. No such “crossing” exists in corporate bonds and agency …
[CITATION][C] Precisely Inaccurate: Inefficient Price Anchoring in Response to Mandatory Transparency
R Lewis - Available at SSRN 2912431, 2017