We directly compare retail investor execution costs with exchange execution costs. We find off-exchange retail trades execute at lower effective spreads than comparable exchange trades, primarily due to the uninformed nature of retail trades. These results hold when payment for order flow (PFOF)...

The paper investigates the relation between retail investors' participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors' trading and stock market liquidity. Examination of the determinants of retail investors'...

This paper uses regulatory data to assess the value of retail order flow in the German equity market. To this end, we examine the performance of specialized retail market makers (RMMs) that internalize a large share of retail activity via affiliated trading venues. We show that retail market...

We show that wholesalers internalize unbalanced amounts of retail order flow to provide liquidity to institutional investors. The Tick Size Pilot highlights how wholesaler incentives affect the magnitude and composition of internalized retail trade imbalances (Mroib, Boehmer et al.\ 2021). Large...

Using 2010-2019 stock-level data in US, we examine whether and how retail investors trade on environmental, social, and government (ESG) information. Although retail investors trade more on ESG disclosed stocks than no-disclosed stocks, ESG disclosure information does not help retail investors...

The closing call auction is an important feature of modern markets that improves the efficiency of closing prices as a benchmark. We examine the effects of COVID-19 on closing price dislocation – with a specific focus on the role of high-frequency and retail traders on closing price...

Using short sell transactions data from 2010 to 2016, this paper is the first to provide a comprehensive sample of short selling initiated by retail investors. We find that retail short selling can predict negative stock returns. A trading strategy that mimics weekly retail shorting earns an...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

We investigate electronic trading among customers under normal market conditions and during the Covid-19 crisis using a unique data sample of U.S. corporate bond transactions from UBS Bond Port. We show that electronic customer-to-customer (C-to-C) trading is beneficial in terms of costs for...