Would Order‐By‐Order Auctions Be Competitive?
研究了两种处理散户订单的方法：券商路由和逐单拍卖，发现逐单拍卖虽提高分配效率但面临赢家诅咒，可能降低散户福利，尤其在流动性有限时。
ABSTRACT We model two methods of executing segregated retail orders: brokers' routing, whereby brokers allocate orders using the market maker's overall performance, and order‐by‐order auctions, where market makers bid on individual orders, a recent U.S. Securities and Exchange Commission proposal. Order‐by‐order auctions improve allocative efficiency, but face a winner's curse reducing retail investor welfare, particularly when liquidity is limited. Additional market participants competing for retail orders fail to improve total efficiency and investor welfare when entrants possess information superior to incumbent wholesalers. Our results hold when new entrants are less informed or the information structure differs. We also examine the cross‐subsidization of brokers' routing.