Institutional Order Handling and Broker-Affiliated Trading Venues

44 Pages Posted: 11 Mar 2019 Last revised: 20 May 2019

See all articles by Amber Anand

Amber Anand

Syracuse University - Whitman School of Management

Mehrdad Samadi

Southern Methodist University (SMU) - Finance Department

Jonathan S. Sokobin

FINRA

Kumar Venkataraman

Southern Methodist University (SMU) - Finance Department

Date Written: May 15, 2019

Abstract

Using detailed order handling data over the life of 350 million institutional orders, we study whether order routing by brokers to Alternative Trading Systems (ATSs) that they own affects execution quality. In regressions that account for stock characteristics, order attributes and market conditions, orders handled by brokers with high affiliated ATS routing are associated with lower fill rates and higher implementation shortfall (trading) costs. Similar results are obtained for “not-held” orders, large institutional orders and matched samples that account for client intentions. Our results suggest that improved disclosures on order handling could help institutions with broker selection.

Keywords: Broker; ATS; Dark Pool; Trading Cost; Liquidity; Order Handling; Best Execution; Agency

JEL Classification: G10; G20

Suggested Citation

Anand, Amber and Samadi, Mehrdad and Sokobin, Jonathan and Venkataraman, Kumar, Institutional Order Handling and Broker-Affiliated Trading Venues (May 15, 2019). SMU Cox School of Business Research Paper No. 19-3. Available at SSRN: https://ssrn.com/abstract=3338129 or http://dx.doi.org/10.2139/ssrn.3338129

Amber Anand

Syracuse University - Whitman School of Management ( email )

721 University Avenue
Syracuse, NY 13244
United States

Mehrdad Samadi

Southern Methodist University (SMU) - Finance Department ( email )

United States

Jonathan Sokobin (Contact Author)

FINRA ( email )

1735 K Street NW
Washington, DC 20006-1506
United States
(202) 728-8248 (Phone)
(301) 527-4809 (Fax)

Kumar Venkataraman

Southern Methodist University (SMU) - Finance Department ( email )

United States
214-768-7005 (Phone)
214-768-4099 (Fax)

HOME PAGE: http://people.smu.edu/kumar/

Register to save articles to
your library

Register

Paper statistics

Downloads
64
rank
339,190
Abstract Views
344
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information