Market microstructure studies the process by which investors' latent demands are ultimately
translated into prices and volumes. This paper reviews the theoretical, empirical and …

This paper reviews and analyzes the legal and economic aspects of the duty of best
execution. Although a well-established principle of securities trading, we show that the dual …

Individual investors who hold common stocks directly pay a tremendous performance
penalty for active trading. Of 66,465 households with accounts at a large discount broker …

This paper evaluates alternative methods for classifying individual trades as market buy or
market sell orders using intraday trade and quote data. We document two potential problems …

This paper develops and implements a technique for estimating a model of the bid/ask
spread. The spread is decomposed into two components, one due to asymmetric information …

We consider the execution of portfolio transactions with the aim of minimizing a combination
of volatility risk and transaction costs arising from permanent and temporary market impact …

We analyze the pricing of 63 block trades between 1978 and 1982 involving at least 5% of
the common stock of NYSE or Amex corporations. These blocks are typically priced at …

Agency theory suggests that outside shareholders prefer higher dividend payouts in order to
reduce the free cash flows of firms that are under the insiders' control. Our study investigates …

We derive dynamic optimal trading strategies that minimize the expected cost of trading a
large block of equity over a fixed time horizon. Specifically, given a fixed block S̄ of shares …

This paper examines the relation between net buying pressure and the shape of the implied
volatility function (IVF) for index and individual stock options. We find that changes in implied …