کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961755 | 929911 | 2006 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The impact of preferencing on execution quality
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We examine the impact of preferencing on execution quality for NASDAQ and NYSE-listed stocks. Our theoretical model demonstrates that realized spreads are more reliable than effective spreads in the presence of preferencing, but even realized spreads are a poor measure of execution quality if the stocks being compared have different degrees of information asymmetry. We provide a new measure of the costs of preferencing that is independent of asymmetric information. Using data from the SEC 11Ac1-5 reports for marketable orders of up to 2000 shares, we find that both realized spreads and our preferencing measure are lower for NYSE-listed stocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 9, Issue 3, August 2006, Pages 246-273
Journal: Journal of Financial Markets - Volume 9, Issue 3, August 2006, Pages 246-273
نویسندگان
Chen He, Elizabeth Odders-White, Mark J. Ready,