| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w29883
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| 来源ID | Working Paper 29883
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| Payment for Order Flow And Asset Choice |
| Thomas Ernst; Chester S. Spatt
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| 发表日期 | 2022-03-28
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| 出版年 | 2022
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| 语种 | 英语
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| 摘要 | The paper documents important differences in payment for order flow (PFOF), spreads, and price improvement across asset classes. In stocks we show that PFOF is small. While many retail trades are executed off-exchange, we find that they receive meaningful price improvement, particularly when spreads are at their minimum. In single-name equity options, we show that PFOF is large. While all option trades are executed on-exchange, option exchanges have rules that facilitate internalization. We exploit variation in the Designated Market Maker (DMM) assignments at option exchanges to show that retail traders receive less price improvement, and worse prices, from those DMMs who pay PFOF to brokers. Current debate concerning PFOF has focused on equity routing. We show that option routing is comparatively worse, and this gives rise to a second potential conflict of interest of brokers: encouraging customers to trade assets offering higher PFOF. As fintech has eliminated retail commissions, these cross-asset differences in PFOF have become far more consequential to broker incentives. |
| 主题 | Financial Economics
; Financial Markets
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w29883
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587555
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推荐引用方式
GB/T 7714 |
Thomas Ernst,Chester S. Spatt. Payment for Order Flow And Asset Choice. 2022.
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文件名：
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w29883.pdf
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格式：
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Adobe PDF
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