Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing
研究美国证监会2001年要求市场中心发布月度执行质量报告后，订单路由决策是否受过去执行质量影响，以及披露要求是否改变了这一关系。发现低执行成本和快速成交的市场会吸引更多订单，且报告提供了此前无法获得的信息。
In 2001, the Securities and Exchange Commission (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.