Issues in assessing trade execution costs

Bacidore, J., Ross, K., Sofianos, G., 2001. Quantifying market order execution quality at the New York stock exchange. Journal of Financial Markets, this issue.

Bessembinder, 1999, Trade execution costs on Nasdaq and the NYSE, Journal of Financial and Quantitative Analysis, 34, 387, 10.2307/2676265

Blume, 1997, Quotes, order flow, and price discovery, Journal of Finance, 52, 221, 10.2307/2329562

Chan, 1997, Institutional equity trading costs, Journal of Financial Economics, 52, 713

Chung, K., Van Ness, B., Van Ness, R., 1999. Limit orders and the bid–ask spread. Journal of Financial Economics 255–287.

Chung, K., Van Ness, B., Van Ness, R., 2000. Spreads, depths, and quote clustering on the NYSE and Nasdaq: evidence from the 1997 SEC Rule changes. Working paper, University of Memphis.

Ellis, 2000, The accuracy of trade classification rules, Journal of Financial and Quantitative Analysis, 35, 529, 10.2307/2676254

Finucane, 2000, A direct test of methods for inferring trade direction from intra-day data, Journal of Financial and Quantitative Analysis, 35, 553, 10.2307/2676255

Glosten, 1987, Components of the bid–ask spread and the statistical properties of transactions prices, Journal of Finance, 42, 1293, 10.2307/2328528

Hasbrouck, J., Sofianos, G., Sosobee, D., 1993. New York stock exchange systems and trading procedures. NYSE working paper 93-01.

Heidle, 2002, Information-based trading in dealer and auction markets: an analysis of exchange listings, Journal of Financial and Quantitative Analysis, 37, 391, 10.2307/3594986

Huang, 1996, Dealer versus auction markets, Journal of Financial Economics, 41, 313, 10.1016/0304-405X(95)00867-E

Keim, 1997, Transactions costs and investment style, Journal of Financial Economics, 46, 265, 10.1016/S0304-405X(97)00031-7

LaPlante, 1997, Do institutions receive comparable executions in the NYSE and Nasdaq markets? A transactions study of block trades, Journal of Financial Economics, 45, 97, 10.1016/S0304-405X(97)81614-5

Lee, 2000, Inferring investor behavior, Journal of Financial Markets, 3, 83, 10.1016/S1386-4181(00)00002-1

Lee, 1991, Inferring trade direction from intraday data, Journal of Finance, 46, 733, 10.2307/2328845

Odders-White, 2000, On the occurrence and consequences of inaccurate trade classification, Journal of Financial Markets, 3, 259, 10.1016/S1386-4181(00)00006-9

Perold, 1988, The implementation shortfall, Journal of Portfolio Management, 14, 4, 10.3905/jpm.1988.409150

Peterson, M., Sirri, E., 2002. Evaluation of the biases in execution cost estimates using trade and quote data. Journal of Financial Markets, this issue.

Roll, 1984, A simple measure of the effective bid–ask spread in an efficient market, Journal of Finance, 39, 1127, 10.2307/2327617

Schultz, 2000, Regulatory and legal pressures and the costs of Nasdaq trading, Review of Financial Studies, 13, 917, 10.1093/rfs/13.4.917

Seppi, 1997, Liquidity provision with limit orders and a strategic specialist, Review of Financial Studies, 10, 103, 10.1093/rfs/10.1.103

Smith, J., Selway, J., McCormick, T., 1998. The Nasdaq Stock market: historical background and current operation. NASD working paper 98-01, National Association of Securities Dealers, Washington, DC.

Weston, 2000, Competition on the Nasdaq and the impact of recent market reforms, Journal of Finance, 55, 2565, 10.1111/0022-1082.00300

Werner, I., 2002. NYSE execution costs. Journal of Financial Markets, this issue.