Execution Costs of Institutional Equity Orders

Posted: 1 Nov 1999

See all articles by Charles M. Jones

Charles M. Jones

Columbia Business School

Marc L. Lipson

University of Virginia - Darden School of Business

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Abstract

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. Journal of Financial Intermediation, Vol. 8, Iss. 3, July 1999. Available at SSRN: https://ssrn.com/abstract=191935

Charles M. Jones (Contact Author)

Columbia Business School ( email )

3022 Broadway
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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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