Institutional Order Handling and Broker-Affiliated Trading Venues

• 成果类型: Article
• 署名作者: Anand, Amber; Samadi, Mehrdad; Sokobin, Jonathan; Venkataraman, Kumar
• 署名单位: State University of New York (SUNY) System; Southern Methodist University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab004
• 发表日期: 2021
• 页码: 3364
• 关键词: market; COMPETITION; strategies

摘要

Using detailed order handling data, we find that institutional brokers who route more orders to affiliated alternative trading systems (ATSs) are associated with lower execution quality (i.e., lower fill rates and higher implementation shortfall costs). To separate clients' preference for ATSs from brokers' routing decisions, we confirm these results for orders where brokers have more order handling discretion, matched broker analysis that accounts for ATS usage, matched child orders that account for client intent, and based on an exogenous constraint on ATS venue choice. Our results suggest that increased transparency of order routing practices will improve execution quality.