This paper examines the release of trades to the brokerage industry; proprietary data on the trades of 33 institutions totaling $124 billion allow us to distinguish between trades directed to soft dollar brokers and those directed to brokers for pure execution purposes. We find that...

The evidence on institutional investors' trading behavior during the 1990s is broadly consistent with those investors seeking to reduce execution costs. Specifically, institutional investors break up large orders into smaller trades; the nature of the break-up depends in part on characteristics...

Using proprietary data, we examine institutional orders and trades filled by alternative electronic trading systems. Our data consist of almost 800,000 orders (corresponding to 2.15 million trades) worth approximately $1.6 trillion, between the first quarter of 1996 and the first quarter of...

We examine realized spreads and price impact in clock and trade time following each trade in all common stocks from 2010-2017. The term structure of realized spreads (price impact) is sharply downward (upward) sloping, implying that (a) market maker profitability is sensitive to speed, and (b)...

We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross-section of securities in the U.S. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly...