Security Brokerage Markets under Price Uncertainty
This paper develops a model of security broker behavior under price uncertainty. The model examines the process of matching orders and the determinants of equilibrium brokerage commission rates. Institutional arrangements, search efficiency, execution costs, volume, risk, and the unit price of the security are shown to affect equilibrium brokerage commission rates. Some stylized facts of security brokerage are explained.
Journal of Financial Intermediation
WU, Chunchi and Colwell, Peter.
Security Brokerage Markets under Price Uncertainty. (1992). Journal of Financial Intermediation. 2, (4), 422-448. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/809