Public disclosure and private decisions: Equity market execution quality and order routing

Review of Financial Studies

Volumn 20, Issue 2, 2007, Pages 315-358

  Boehmer, Ekkehart ^a,d   Jennings, Robert ^b   Wei, Li ^c  

^a TEXAS A AND M UNIVERSITY   (United States)

^b INDIANA UNIVERSITY   (United States)

^c New York Stock Exchange Inc   (United States)

^d TEXAS A AND M UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33847623045     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhl011     Document Type: Review

References (27)

1. Bacidore, J., K. Ross, and G. Sofianos, 2003, "Quantifying Best Execution at the NYSE," Journal of Financial Markets, 281-307.
2. Bell, D. E., R. L. Keeney, and J. D. C. Little, 1975, "A Market Share Theorem," Journal of Marketing Research, 12, 136-141.
3. Bessembinder, H., 1999, "Trade Execution Costs on NASDAQ and the NYSE: A Post-reform Comparison," Journal of Financial and Quantitative Analysis, 34, 387-407.
4. Bessembinder, H., 2003a, "Selection Biases and Cross-market Trading Cost Comparisons," working Paper, University of Utah.
5. Bessembinder, H., 2003b, "Quote-Based Competition and Trade Execution Costs in NYSE-Listed Stocks," Journal of Financial Economics, 70, 385-422.
6. Bessembinder, H., 2003c, "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, 38, 747-777.
7. Bessembinder, H., and H. Kaufman, 1997, "A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-Listed Stocks," Journal of Financial Economics, 46, 293-319.
8. Blume, M., and M. Goldstein, 1992, "Differences in Execution Prices Among the NYSE the Regionals, and the NASD," Working Paper 4-92, Rodney White Center for Financial Research, Wharton School of Business, University of Pennsylvania.
9. Boehmer, E., 2005, "Dimensions of Execution Quality: Recent Evidence for U.S. Equity Markets," Journal of Financial Economics, 78, 463-704.
10. Boehmer, E., and E. Kelley, 2005, "Institutional Investors and the Informational Efficiency of Prices," working Paper, Texas A&M University.
11. Burns, J. and A. Lucchetti, 2005, "Instinet Units to Pay $2.2 Million to Settle Inaccurate-data Case," The Wall Street Journal, 19 October, C4.
12. Chordia, T., and A. Subrahmanyam, 2004, "Order Imbalance and Individual Stock Returns: Theory and Evidence," Journal of Financial Economics, 72, 485-518.
13. Chung, K., C. Chuwonganant, and D. T. McCormick, 2004, "Order Preferencing and Market Quality on NASDAQ before and after Decimalization," Journal of Financial Economics, 71, 581-612.
14. Cooper, L. G., and M. Nakanishi, 1988, Market Share Analysis, Kluwer Academic Publishers, Boston, MA.
15. Easley, D., N. Kiefer, and M. O'Hara, 1996, "Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow," Journal of Finance, 51, 811-834.
16. Huang, R., and H. Stoll, 1996, "Dealer Versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE," Journal of Financial Economics, 41, 313-357.
17. Huang, R. D., 2002, "The Quality of ECN and Nasdaq market maker quotes," Journal of Finance, 57, 1285-1319.
18. Lee, C., 1993, "Market Integration and Price Execution for NYSE-Listed Securities," Journal of Finance, 48, 1009-1038.
19. Lipson, M., 2003, "Competition Among Market Centers," working paper, University of Virginia.
20. Nakanishi, M., and L. G. Cooper, 1982, "Simplified Estimation Procedures for MCI Models," Marketing Science, 1, 314-322.
21. Peterson, M., and E. Sirri, 2002, "Order Submission Strategy and the Curious Case of Marketable Limit Orders," Journal of Financial and Quantitative Analysis, 37, 221-241.
22. Traders Magazine, 2001, "Chicago Exchange move for Price Improvement," 1 January.
23. Traders Magazine, 2002, "Captive Order Flow is Dead," 1 February.
24. Traders Magazine, 2003, "Buy-side Under Fire to Evaluate Brokers," 1 February.
25. Traders Magazine, 2005, "A New Vision at Knight," 21 June.
26. U.S. Securities and Exchange Commission, 1997, "Report on the practice of preferencing," 15 April.
27. U.S. Securities and Exchange Commission, 2001, "Report on the comparison of order execution across equity market structures," 8 January.