H. Bessembinder et Hm. Kaufman, CROSS-EXCHANGE COMPARISON OF EXECUTION COSTS AND INFORMATION-FLOW FORNYSE-LISTED STOCKS, Journal of financial economics, 46(3), 1997, pp. 293-319
We examine execution costs for trades in NYSE issues completed on the
NYSE, the NASD dealer market, and the regional stock exchanges during
1994. We find that effective bid-ask spreads are only slightly smaller
at the NYSE. However, realized bid-ask spreads, which measure market-
making revenue net of losses to better-informed traders but gross of i
nventory or order-processing costs, are lower on the NYSE by a factor
of two to three. This differential is attributable to the successful '
cream skimming' of uninformed trades by off-NYSE market makers. These
findings reinforce existing concerns about whether orders are routed s
o as to receive the best possible execution.