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Qualità della negoziazione e tutela dell'investitore

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Author Info
Mario Anolli () (Università Cattolica di Milano)
Giovanni Petrella () (Università Cattolica di Milano)

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Abstract

MiFID regulation aims at protecting investors and promoting competition across securities markets in the European Union. The measurement of trade execution quality is crucial to achieve such goals. Traders will direct order flow towards more efficient venues only if compare trade execution quality across markets based on methodologically sound execution quality metrics. We discuss the concept of best execution as ruled by MiFID and present two frameworks to estimate trade execution quality: price benchmark and econometric transaction cost estimation methods. No execution quality metric is preferable in every market condition and for every trader. We thus provide some clues to appropriately choose execution quality measures.

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File URL: http://www.rivistapoliticaeconomica.it/2008/gen-feb/Anolli.pdf
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Publisher Info
Article provided by SIPI Spa in its journal Rivista di Politica Economica.

Volume (Year): 98 (2008)
Issue (Month): 1 (January-February)
Pages: 295-353
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:rpo:ripoec:v:98:y:2008:i:1:p:295-353

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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

References listed on IDEAS
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  1. Donald B. Keim & Ananth Madhavan, . "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 8-98, Wharton School Rodney L. White Center for Financial Research.
    Other versions:
  2. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June. [Downloadable!] (restricted)
    Other versions:
  3. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, vol. 21(1), pages 123-142, May. [Downloadable!] (restricted)
  4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
  5. repec:fth:pennfi:68 is not listed on IDEAS
  6. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June. [Downloadable!] (restricted)
  7. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January. [Downloadable!] (restricted)
  8. Schultz, Paul, 2000. "Regulatory and Legal Pressures and the Costs of Nasdaq Trading," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(4), pages 917-57.
  9. Choi, J. Y. & Salandro, Dan & Shastri, Kuldeep, 1988. "On the Estimation of Bid-Ask Spreads: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(02), pages 219-230, June. [Downloadable!]
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