Dimensions of execution quality: Recent evidence for US equity markets

• 成果类型: Article
• 署名作者: Boehmer, E
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.11.002
• 发表日期: 2005
• 页码: 553-582
• 关键词: securities trading; order execution quality; SEC Rule 11Ac1-5

摘要

I analyze market-order execution quality using order-based data reported in accordance with Securities and Exchange Commission Rule 11Acl-5. These data facilitate a comprehensive investigation of multiple dimensions of execution quality, including measures of costs and speed, for large samples of common stocks on Nasdaq and the NYSE. The evidence is consistent with competitive equity markets. Overall execution costs on Nasdaq exceed those on the NYSE, but orders execute faster. This relationship reverses for larger orders exceeding 1,999 shares. The apparent trade-off between costs and speed suggests that inferring execution quality from costs alone could be problematical. It also illustrates the need for models of trader behavior that can accommodate multiple dimensions of execution quality. (c) 2005 Elsevier B.V. All rights reserved.