We compare average trade execution costs during 1994 for sets of large, medium, and small capitalization stocks listed on the New York and Nasdaq stock markets. All measures of execution costs examined, including quoted bid-ask spreads, effective spreads (which allow for executions within the...

Research on certain types of institutional order flow has highlighted potential destabilizing effects on market quality related to the fact that these orders can be anticipated by other market participants. Examples include the rebalancing of rules-based indexes and ETFs, including end-of-day...