文档介绍：REVENUES OF IMMEDIACY SUPPLIERS VERSUS
EXECUTION COSTS OF INVESTORS:
EVIDENCE FROM THE NYSE
Roger D. Huang
and
Hans R. Stoll
Owen Graduate School of Management
Vanderbilt University
Nashville, TN 37203
Working Paper 94-05
Preliminary draft: October 26, 1993
Current version: August 13, 1996
This study was funded in part by the Financial Markets Research Center at Vanderbilt University
with a grant from the NASD and by the Dean’s Fund for Faculty Research. A preliminary version
of this paper was presented at a Conference on petition in the Market for Markets in
Honor of Kal Cohen at Duke. We thank Jennifer Conrad and Dennis Sheehan for ments.
Earlier versions of this paper were titled "Anatomy of Trading Costs: Evidence from the NYSE."
REVENUES OF IMMEDIACY SUPPLIERS VERSUS EXECUTION COSTS OF
INVESTORS: EVIDENCE FROM THE NYSE
Abstract
The per share revenue of immediacy suppliers is estimated by a measure we term the "realized half-
spread." The estimate, based on plete record of all transactions for 343 New York Stock
Exchange stocks that are continuously listed in the S&P 500 in the period 1987 to 1991, is about
two to three cents per share. The realized half-spread pared with per share trading gains of
securities firms as calculated from financial reports filed with the SEC. Inferences about the
revenues of public limit orders pared with the revenues of securities firms are made, and
they suggest that limit orders are “picked off.” The realized half-spread is reconciled with
frequently used measures of investor execution costs -- the quoted and effective half-spreads. Also
examined are the Roll implied spread and a measure termed the perfect foresight half-spread.
REVENUES OF IMMEDIACY SUPPLIERS VERSUS EXECUTION COSTS OF
INVESTORS: EVIDENCE FROM THE NYSE
1. Introduction
Participants in a trading market can be partitioned into suppliers of immediacy and
demanders of immediacy, as Demsetz (1968) first noted. Suppliers of