Using Matched Samples to Test for Differences in Trade Execution Costs

By R. Davies, Sang Soo Kim. 2009

100 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/b7ba84874fb7ceaf721a7870a3a489021b28231c

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Citations in the corpus

Did CDS Trading Improve the Market for Corporate Bonds (2014, unknown): “As Goldstein, Hotchkiss and Sirri (2007) and Davies and Kim (2009) point out, both approaches of forming control samples have their own merits and applicability, and are optimal.”
The Empirical Analysis of Liquidity (2014, background): “Beginning with the theoretical work of Diamond and Verrecchia [1991], there is a literature that examines a firm’s propensity to disclose information as an attempt to lower the information related part of trading costs.”
High‐Frequency Trading around Large Institutional Orders (2019, unknown): “For sell orders results are weaker, and we only 11The relative distance measure of Davies and Kim (2009) is inappropriate when matching on returns because the distance gets large when returns approach zero (division by close-to-zero).”
Automation, Speed, and Stock Market Quality: The NYSE’s Hybrid (2011, methodology): “(13)Davies and Kim (2009) find that one-to-one matching without replacement based on market capitalization and share price is the most appropriate method for comparing trade execution costs between NYSE and NASDAQ stocks.”
Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets (2011, background): “For buy orders, effective spreads are twice the difference between the trade price and the midpoint of the ORT bid ask spread.”
Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality (2014, unknown): “One-to-one matching without replacement based on closing price and market capitalization has been shown to be the most appropriate method to test for difference in trade execution costs; see Davies and Kim (2009). We additionally include a measure of competition as a matching criterium, for three re”