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• W56536081 abstract "We use proprietary order-level data on New York Stock Exchange (NYSE) trading to examine how trading costs and price discovery evolve and may be related in a market where heterogeneous sources of order flow are present. We find that retail and non-retail orders do not have the same average execution costs. Effective spreads for retail orders are smaller than effective spreads for similar orders originating from institutions or program trades. The principal explanation is that non-retail order flow appears to be less correlated with information flows. We find that some of the initial price response to retail order flow is reversed following an execution as a result of an inflow of institutional orders in the opposite direction. Finally, institutional and program order flow appears to take advantage of liquidity changes, jumping in when spreads narrow, while retail order flow does not. Our results suggest that differences in the timing of order initiation across order types leads to remarkably different average execution results and relations between order flows." @default.
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• W56536081 date "2010-01-01" @default.
• W56536081 modified "2023-09-24" @default.
• W56536081 title "Are Retail Orders Different" @default.
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