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Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing

52 Pages Posted: 17 Sep 2003  

Robert H. Jennings

Indiana University - Kelley School of Business - Department of Finance

Ekkehart Boehmer

Singapore Management University - Lee Kong Chian School of Business

Li Wei

New York Stock Exchange NYSE - Strategy and Research

Multiple version iconThere are 3 versions of this paper

Date Written: March 20, 2006

Abstract

In 2001, the SEC required market centers to publish monthly execution-quality reports in an effort to spur competition for order flow between markets. Using samples of stocks trading on several markets, we investigate whether past execution quality affects order-routing decisions and whether the new disclosure requirements influence this relationship. We find that routing decisions are associated with execution quality; markets reporting low execution costs and fast fills subsequently receive more orders. Moreover, the reports themselves appear to provide information that was unavailable previously. Our results are consistent with active competition for order flow that can be influenced by public disclosure.

Keywords: Disclosure regulation, execution quality, order routing decisions, SEC Rule 11Ac1-5

JEL Classification: G24, G28, K22

Suggested Citation

Jennings, Robert H. and Boehmer, Ekkehart and Wei, Li, Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing (March 20, 2006). Available at SSRN: https://ssrn.com/abstract=440249 or http://dx.doi.org/10.2139/ssrn.440249

Robert H. Jennings

Indiana University - Kelley School of Business - Department of Finance ( email )

1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-2696 (Phone)
812-855-5875 (Fax)

Ekkehart Boehmer (Contact Author)

Singapore Management University - Lee Kong Chian School of Business ( email )

Singapore

Li Wei

New York Stock Exchange NYSE - Strategy and Research ( email )

11 Wall Street
New York, NY 10005
United States

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