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All else equal?: a multidimensional analysis of retail, market order execution quality

  • Battalio, Robert
  • Hatch, Brian
  • Jennings, Robert
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    File URL: http://www.sciencedirect.com/science/article/B6VHN-46D540W-1/2/491e5e21c5f616d1d815b1f589db7146
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    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 6 (2003)
    Issue (Month): 2 (April)
    Pages: 143-162

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    Handle: RePEc:eee:finmar:v:6:y:2003:i:2:p:143-162
    Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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    1. Robert Battalio & Jason Greene & Brian Hatch, 2002. "Does the Limit Order Routing Decision Matter?," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 159-194, March.
    2. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
    3. Donald B. Keim & Ananth Madhavan, . "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 08-98, Wharton School Rodney L. White Center for Financial Research.
    4. Macey, Jonathan R. & O'Hara, Maureen, 1997. "The Law and Economics of Best Execution," Journal of Financial Intermediation, Elsevier, vol. 6(3), pages 188-223, July.
    5. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, vol. 46(3), pages 265-292, December.
    6. Battalio, Robert & Jennings, Robert & Selway, Jamie, 2001. "The potential for clientele pricing when making markets in financial securities," Journal of Financial Markets, Elsevier, vol. 4(1), pages 85-112, January.
    7. repec:fth:pennfi:68 is not listed on IDEAS
    8. Bessembinder, Hendrik, 1999. "Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 387-407, September.
    9. Blume, M.E. & Goldstein, M.A., 1991. "Differences in execution Prices among the Nyse, the Regionals and the NASD," Weiss Center Working Papers 4-92, Wharton School - Weiss Center for International Financial Research.
    10. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(03), pages 287-310, September.
    11. Petersen, Mitchell A. & Fialkowski, David, 1994. "Posted versus effective spreads *1: Good prices or bad quotes?," Journal of Financial Economics, Elsevier, vol. 35(3), pages 269-292, June.
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