We use order data to assess the accuracy of execution cost estimation with trade and quote
data. For our sample, estimates of the effective spread overstate actual execution costs by …

Often, organizations have difficulties in recognizing the need to change. Nicole Zimmermann
investigates the barriers to, but also in particular the drivers of organizational change. From …

In expandable limit order markets, quotes represent a firm-price commitment to trade but
also serve as an invitation for one-on-one quantity negotiation. Analyzing interdealer …

Traditional price improvement improperly assesses large orders' execution quality by
ignoring additional liquidity depth-exceeding orders receive at the quoted price and viewing …

We examine the components of displayed (quoted) liquidity and the amount of non-
displayed liquidity on the NYSE for a sample of non-US stocks. Consistently with prior work …

Variations in overall liquidity can be measured by simultaneous changes in both immediacy
costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity …

Abstract After the Nasdaq and American Stock Exchange (AMEX) merged in 1998, officials
of the new entity argued that some “smaller, harder to trade” companies on Nasdaq should …

In this study we test the information hypothesis of price improvement. Our results show that
price improvement is negatively related to both the probability of information‐based trading …

Over more than 30 years of research and portfolio management, the authors developed 10
key insights that inform our investment process. These insights all stem from the realization …

We use market‐order data to determine execution quality on the NYSE, four regional stock
exchanges, and the Nasdaq InterMarket. We examine a sample period after the reduction in …