Execution Costs of Institutional Equity Orders

Paine Webber Working Paper No. 99-01

28 Pages Posted: 7 Oct 1999

See all articles by Charles M. Jones

Charles M. Jones

Columbia Business School

Marc L. Lipson

University of Virginia - Darden School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: March 1999


We compare institutional execution costs across the major U.S. exchanges using a sample of institutional equity orders in firms that switch exchanges. Execution costs including commissions are essentially indistinguishable across these exchanges. We also find the fraction of trading volume from momentum traders is greater on the NYSE than either the Nasdaq or AMEX and that orders are more likely to be worked by an institution's trading desk on the NYSE than on the Nasdaq. These results suggest that institutions actively manage execution strategies, taking into account characteristics of the markets in which they trade.

JEL Classification: G10, G19, G20, G23

Suggested Citation

Jones, Charles M. and Lipson, Marc Lars, Execution Costs of Institutional Equity Orders (March 1999). Paine Webber Working Paper No. 99-01. Available at SSRN: https://ssrn.com/abstract=185614 or http://dx.doi.org/10.2139/ssrn.185614

Charles M. Jones (Contact Author)

Columbia Business School ( email )

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HOME PAGE: http://https://www8.gsb.columbia.edu/cbs-directory/detail/cj88

Marc Lars Lipson

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-4837 (Phone)
434-243-5021 (Fax)

HOME PAGE: http://www.darden.virginia.edu/faculty/lipson.htm

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