Order Submission Strategy and the Curious Case of Marketable Limit Orders
比较了市价订单和可市价限价订单的执行成本，发现后者无条件成本更高，但纠正选择偏差后，交易者实际选择了条件成本更低的订单类型。
We provide empirical evidence on order submission strategy of investors with similar commitments to trade by comparing the execution costs of market orders and marketable limit orders (i.e., limit orders with the same trading priority as market orders). The results indicate the unconditional trading costs of marketable limit orders are significantly greater than market orders. We attribute the difference in costs to a selection bias and provide evidence suggesting the order submission strategy decision is based on prevailing market conditions and stock characteristics. After correcting for the selection bias, the results show the average trader chooses the order type with lower conditional trading costs.