Interdealer Price Dispersion and Intermediary Capacity

We thank seminar participants at UCLA Finance Brown Bag, Lubrafin, UBC Summer Finance Conference, Financial Intermediation Research Society (FIRS), North American Summer Meeting of the Econometric Society, American Finance Association Meeting, FGV São Paulo School of Economics, University of Rochester, University of Southern California, Massachusetts Institute of Technology, New York University, Boston University, University of Wisconsin, McGill University, the European Finance Association Annual Meeting, and the NBER-OFR Conference (Washington D.C.) for helpful comments and suggestions. We also thank Yakov Amihud, Burton Hollifield (discussant), Nils Friedwald, Bruno Giovannetti (discussant), Leonid Kogan, Jane Li (discussant), Giorgio Ottonello (discussant), Antoinette Schoar, Marti Subrahmanyam, Adrien Verdelhan, and Yoshio Nozawa (discussant) for their insightful suggestions and feedback. This paper previously circulated as “Interdealer Price Dispersion”. This project received grant funding from the NBER initiative on “Market Frictions and Financial Stability.” This initiative is supported by the Office of Financial Research at the US Treasury, through a grant from the National Science Foundation. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.