Publication Type
Journal Article
Version
acceptedVersion
Publication Date
3-2007
Abstract
In 2001, the Securities and Exchange Commission (SEC) required market centers to publish monthly execution-quality reports in an effort to spur competition for order flow between markets. Using samples of stocks trading on several markets, we investigate whether past execution quality affects order-routing decisions and whether the new disclosure requirements influence this relationship. We find that routing decisions are associated with execution quality; markets reporting low execution costs and fast fills subsequently receive more orders. Moreover, the reports themselves appear to provide information that was unavailable previously. Our results are consistent with active competition for order flow that can be influenced by public disclosure.
Keywords
Disclosure regulation, execution quality, order routing decisions, SEC Rule 11Ac1-5
Discipline
Business | Finance and Financial Management
Research Areas
Finance
Publication
Review of Financial Studies
Volume
20
Issue
2
First Page
315
Last Page
358
ISSN
0893-9454
Identifier
10.1093/rfs/hhl011
Publisher
Oxford University Press
Citation
BOEHMER, Ekkehart; JENNINGS, Robert; and WEI, Li.
Public disclosure and private decisions: The case of equity market execution quality. (2007). Review of Financial Studies. 20, (2), 315-358.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4690
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/rfs/hhl011