| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13936 |
| DP13936 The Value of Intermediation in the Stock Market | |
| Marco Di Maggio; Mark Egan; Francesco Franzoni | |
| 发表日期 | 2019-08-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Brokers continue to play a critical role in intermediating institutional stock market transactions. More than half of all institutional investor order flow is still executed by high-touch (non-electronic) brokers. Despite the continued importance of brokers, we have limited information on what drives investors' choices among them. We develop and estimate an empirical model of broker choice that allows us to quantitatively examine each investor's' responsiveness to execution costs and access to research and order flow information. Studying over 300 million institutional trades, we find that investor demand is relatively inelastic with respect to commissions and that investors are willing to pay a premium for access to top research analysts and order-flow information. There is substantial heterogeneity across investors. Relative to other investors, hedge funds tend to be more price insensitive, place less value on sell-side research, and place more value on order-flow information. Furthermore, using trader-level data, we find that investors are more likely to trade with traders who are located physically closer and are less likely to trade with traders that have misbehaved in the past. Lastly, we use our empirical model to investigate the unbundling of equity research and execution services related to the MiFID II regulations. While under-reporting for the average firm is relatively small (4%), we find that the bundling of execution and research allows some institutional investors to under-report management fees by up to 15%. |
| 主题 | Financial Economics ; Industrial Organization |
| 关键词 | Financial intermediation Institutional investors Research analysts Broker networks Equity trading |
| URL | https://cepr.org/publications/dp13936 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542818 |
| 推荐引用方式 GB/T 7714 | Marco Di Maggio,Mark Egan,Francesco Franzoni. DP13936 The Value of Intermediation in the Stock Market. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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