The Actual Retail Price of Equity Trades

• 成果类型: Article
• 署名作者: Schwarz, Christopher; Barber, Brad; Huang, Xing; Jorion, Philippe; Odean, Terrance
• 署名单位: University of California System; University of California Irvine; University of California System; University of California Davis; Washington University (WUSTL); University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13467
• 发表日期: 2025
• 关键词: FLOW TOXICITY; liquidity; IMPACT; fees

摘要

We compare execution quality of six brokerage accounts across five brokers by generating a sample of 85,000 simultaneous market orders. Commission levels and payment for order flow (PFOF) differ across our accounts. We find that execution prices vary significantly across brokers: the mean account-level round-trip cost ranges from 0.07% to 0.46%, excluding any commissions. The dispersion is due to off-exchange wholesalers systematically giving different execution prices for the same trades to different brokers. Across brokers, variation in PFOF does not explain the large variation in price execution. We provide several suggestions for more informative disclosures on execution quality.