Institutional Brokerage Networks: Facilitating Liquidity Provision
研究发现，机构经纪网络能促进流动性提供，减少大额非信息驱动交易的价格冲击。中心基金在交易执行上优于外围基金，尤其在资金大量流出和流动性差的股票交易中。
Abstract We argue that institutional brokerage networks facilitate liquidity provision and mitigate the price impact of large non-information-motivated trades. Using commissions, we map trading networks of mutual funds (institutions) and their brokers. Central funds (institutions) tend to outperform their peripheral counterparts in terms of return gap (execution shortfall). This outperformance is more pronounced when funds experience large outflows and for large trades in less liquid stocks. Central brokers can deliver superior trade execution compared to peripheral brokers, but mainly for central institutions. We use the collapse of Lehman Brothers as a quasi-natural experiment to establish the likely causality of our findings.