We use institutional trade and dealer quote data to estimate transaction costs in the over-the-counter leveraged loan market. In the time series, we find an asymmetric response of transaction costs to loan market returns: negative market returns increase costs much more than positive returns decrease them. In the cross-section, our results support the inventory holding costs and adverse selection paradigms of price formation. As expected for a market without the governance role of securities laws and any regulatory oversight, the level of informed trading is high. Finally, liquidity is marginally priced in secondary market loan spreads, as predicted by classic asset pricing theory.

我们使用机构交易和交易商报价数据来估计场外杠杆贷款市场的交易成本。在时间序列中，我们发现交易成本对贷款市场回报的反应是不对称的：负市场回报增加成本的幅度远大于正回报降低成本。在横截面中，我们的结果支持库存持有成本和价格形成的逆向选择范式。正如预期的那样，对于一个没有证券法治理作用和任何监管监督的市场来说，知情交易的水平很高。最后，正如经典资产定价理论所预测的那样，流动性在二级市场贷款利差中被边际定价。