A call auction is a form of trading that died out in the pre-computer age but has made its reentrance in electronic markets and is currently a significant component of major stock markets globally. In contrast with a continuous market where a transaction is made any time a buy and sell order...

We investigate an asset manager’s choice between an agency trade and a blind principal bid (BPB) for executing a basket of stocks. For the BPB basket, a manager learns the trading cost once an auction process determines the commission. However, an asset manager can also execute a basket as an...