Reputation effects in trading on the New York Stock Exchange

• 成果类型: Article
• 署名作者: Battalio, Robert; Ellul, Andrew; Jennings, Robert
• 署名单位: University of Notre Dame; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01235.x
• 发表日期: 2007
• 页码: 1243-1271
• 关键词: EXECUTION COSTS; AUCTION MARKETS; liquidity; direction; floor

摘要

Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocating with the stock obtain lower trading costs than brokers not moving and brokers beginning trading post-move. Our results suggest that reputation plays an important role in the NYSE's liquidity provision process.