Execution Costs of Institutional Equity Orders
Paine Webber Working Paper No. 99-01
28 Pages Posted: 7 Oct 1999
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: Suggested Citation