Issues in Assessing Trade Execution Costs

By H. Bessembinder. 2003

365 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/450699f9d6e868a362f2490df7cc85445e5c73bc

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Citations in the corpus

Market Efficiency in Real-Time (2002, neutral): “(2000) and Bessembinder (2001) and compare transaction prices to the prevailing quotes at the time the trade is recorded (i.”
Does Algorithmic Trading Improve Liquidity (2011, methodology): “We follow the standard trade-signing approach of Lee and Ready (1991) and use contemporaneous quotes to sign trades and calculate effective spreads (see Bessembinder (2003), for example).”
Information asymmetry and investment-cash flow sensitivity (2008, methodology): “Again, we use the Bessembinder (2003) methodology to identify whether a trade is a buyer-initiated or a seller-initiated.”
Trading Costs and Returns for US Equities: The Evidence from Daily Data (2005, neutral): “Effective costs computed in this fashion are often used in academic studies (see Bessembinder and Kaufman (1997) and Bessembinder (2003a)).”
Uncertainty, Market Structure, and Liquidity (2014, neutral): “We estimate Di,t using the algorithm in Lee and Ready (1991) and Bessembinder (2003) with no allowance for trade-reporting lag.”
Algorithmic Trading and the Market for Liquidity (2013, positive): “…following criteria: • Symbol • Price • Size • Trade direction • Time stamp (microsecond) We identify the trade direction in the SIRCA public data using the Lee and Ready (1991) trade direction algorithm with the Bessembinder (2003) modifications to determine the trade direction in the public data.”
Institutional Investors and the Informational Efficiency of Prices (2009, neutral): “Afterwards, we assume no reporting delay and make no time adjustment (Lee and Ready, 1991; Bessembinder, 2003).”
Trading Rules, Competition for Order Flow and Market Fragmentation (2015, methodology): “10 Bessembinder and Venkataraman (2004), Booth, Lin, Martikainen, and Tse (2002), Fong, Swan, and Madhavan (2001), Madhavan and Cheng (1997) and Smith, Turnbull, and White (2001) study broker-to-broker negotiated”
An analysis of trade-size clustering and its relation to stealth trading (2007, methodology): “This is accomplished by using the Ellis, Michaely, and O’Hara (2000) method with the exception that there is no time lag between trades and quotes (Bessembinder, 2003; Peterson and Sirri, 2003).”
Short Selling and the Price Discovery Process (2013, methodology): “We use Lee and Ready’s (1991) algorithm to assign trade directions but make no time adjustment (Bessembinder 2003).”
Trade Execution Costs and Market Quality after Decimalization (2003, methodology): “The earliest comparisons of trading costs for matched samples of NYSE and Nasdaq-listed stocks were provided by Huang and Stoll (1996), who studied data drawn from 1991, and Bessembinder and Kaufman (1997), who studied data drawn from 1994.”
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? (2007, positive): “Following Bessembinder (2003), we use no quote delay for our 2002 sample.”
Quote-based competition and trade execution costs in NYSE-listed stocks (2003, methodology): “As recommended by EMO and by Bessembinder (2001), trades are compared to quotes in effect at the trade report time, without any adjustment to time stamps to allow for possible reporting delays.”
Trading Your Neighbor's Etfs: Competition or Fragmentation? (2001, neutral): “As suggested by Bessembinder (2003), we make no adjustment to the reported trade times (all results are qualitatively identical when we assume a five-second delay in trade reporting).”