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The “Actual Retail Price” of Equity Trades
16 references·1 citing·37 second hop
The “Actual Retail Price” of Equity Trades (2025)The “Actual Retail Price” of Equity TradesRetail Trading in Options and the Rise of the Big Three Wholesalers (2023)Retail Trading in Options and…Retail trader sophistication and stock market quality: Evidence from brokerage outages (2022)Retail trader sophistication …Attention‐Induced Trading and Returns: Evidence from Robinhood Users (2022)Attention‐Induced Trading and…The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading (2019)The Microstructure of the ‘Fl…Tracking Retail Investor Activity (2017)Tracking Retail Investor Acti…Can Brokers Have It All? On the Relation between Make‐Take Fees and Limit Order Execution Quality (2016)Can Brokers Have It All? On t…Flow Toxicity and Liquidity in a High-frequency World (2012)Flow Toxicity and Liquidity i…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…The Impact of E-Commerce on Competition in the Retail Brokerage Industry (2005)The Impact of E-Commerce on C…A simple model of payment for order flow, internalization, and total trading cost (2001)A simple model of payment for…Third Market Broker-Dealers: Cost Competitors or Cream Skimmers? (1997)Third Market Broker-Dealers: …Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…What's special about the specialist? (1992)What's special about the spec…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Siphoned apart: A portfolio perspective on order flow segmentation (2024)Siphoned apart: A portfolio p…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market Liquidity and Funding Liquidity (2008)High frequency market microstructure (2015)The Economics of High-Frequency Trading: Taking Stock (2016)Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2017)Price, trade size, and information in securities markets (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Price Discovery in Auction Markets: A Look Inside the Black Box (2000)Does Anonymity Matter in Electronic Limit Order Markets? (2007)Limited Attention and the Allocation of Effort in Securities Trading (2008)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Optimal dealer pricing under transactions and return uncertainty (1981)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)Time and the Process of Security Price Adjustment (1992)Fact or friction: Jumps at ultra high frequency (2014)What's Not There: Odd Lots and Market Data (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Capital market effects of media synthesis and dissemination: evidence from robo-journalism (2017)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Flattening the Illiquidity Curve: Retail Trading During the COVID-19 Lockdown (2021)Echo Chambers (2022)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Wisdom of the Robinhood Crowd (2022)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 2017Tracking Retail Investor Activity602 cited
  • 2022Attention‐Induced Trading and Returns: Evidence from Robinhood Users579 cited
  • 2012Flow Toxicity and Liquidity in a High-frequency World573 cited
  • 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading389 cited
  • 2022Retail trader sophistication and stock market quality: Evidence from brokerage outages254 cited
  • 1992What's special about the specialist?250 cited
  • 1997Third Market Broker-Dealers: Cost Competitors or Cream Skimmers?172 cited
  • 2016Can Brokers Have It All? On the Relation between Make‐Take Fees and Limit Order Execution Quality167 cited
  • 2023Retail Trading in Options and the Rise of the Big Three Wholesalers160 cited
  • 2019The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading110 cited
  • 2005The Impact of E-Commerce on Competition in the Retail Brokerage Industry

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99 cited
  • 2001A simple model of payment for order flow, internalization, and total trading cost96 cited
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    • 2024Siphoned apart: A portfolio perspective on order flow segmentation24 cited