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- W1978581418 abstract "This article analyzes the relationship between price improvement and price discovery on American Stock Exchange. The authors present empirical evidence based on October 1996 quote and transaction data on the magnitude and frequency of price improvement and on price improvement9s relationship to price discovery. Price improvement in the period was substantial, averaging 1.43 cents per share for orders delivered by the Amex9s electronic order delivery system (PER) and 6.81 cents per share for orders entered non-electronically. The empirical evidence presented suggests that buy an sell orders are selectively price-improved at the Amex, depending on current market conditions, and thus that price improvement is linked to price discovery. These findings have implications for order flow consolidation in a major market center." @default.
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- W1978581418 date "1999-04-30" @default.
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- W1978581418 title "Price Improvement and Price Discovery on a Primary Market" @default.
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- W1978581418 doi "https://doi.org/10.3905/jpm.1999.319713" @default.
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