Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing

Ekkehart Boehmer, Robert Jennings and Li Wei

The Review of Financial Studies, 2007, vol. 20, issue 2, 315-358

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.

JEL-codes: G24 G28 K22 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (37)

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