Dimensions of execution quality: Recent evidence for US equity markets

@inproceedings{Boehmer2003DimensionsOE,
  title={Dimensions of execution quality: Recent evidence for US equity markets},
  author={Ekkehart Boehmer},
  year={2003}
}
I analyze market order execution quality using order-based data reported in accordance with SEC Rule 11Ac1-5. These data facilitate a comprehensive investigation of multiple dimensions of execution quality, including measures of costs and speed, for large samples of common stocks on Nasdaq and the NYSE. The evidence is consistent with competitive equity markets. Overall execution costs on Nasdaq exceed those on the NYSE, but orders execute faster. This relationship reverses for larger orders… CONTINUE READING

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