美联储-谁在照看商店？零售交易执行中的订单路径与竞争（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Who is Minding the Store? Order Routing and Competition inRetail Trade ExecutionXing Huang, Philippe Jorion, Jeongmin Lee, and Christopher Schwarz2024-080Please cite this paper as:Huang, Xing, Philippe Jorion, Jeongmin Lee, and Christopher Schwarz (2024). “Who isMinding the Store? Order Routing and Competition in Retail Trade Execution,” Financeand Economics Discussion Series 2024-080. Washington: Board of Governors of the FederalReserve System, https://doi.org/10.17016/FEDS.2024.080.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Who Is Minding the Store? Order Routing andCompetition in Retail Trade ExecutionXing Huang, Philippe Jorion, Jeongmin Lee, and Christopher Schwarz∗,†July 20, 2024AbstractUsing 150,000 actual trades, we study the U.S. equity retail broker-wholesaler market,focusing on brokers’ order routing and competition among wholesalers. We documentsubstantial and persistent dispersion in execution costs across wholesalers within bro-kers. Despite this, many brokers hardly change their routing and even consistently sendmore orders to the more expensive wholesalers, although there is considerable variationamong brokers. We also document a case where, after a new wholesaler enters, existingwholesalers significantly reduce their execution costs. Overall, our findings and theo-retical framework highlight the heterogeneity across brokers and are inconsistent withperfect competition in this market.∗Christopher Schwarz (corresponding author, phone: 949-824-0936, email: cschwarz@uci.edu) and Philippe Jorion are atthe Paul Merage School of Business at the University of California at Irvine.Xing Huang is at the Olin Business School,Washington University in St.Louis.Jeongmin “Mina” Lee is at the Federal Reserve Board, Washington, DC. The viewsexpressed here are the authors’ own and do not reflect the views of the Federal Reserve System or its staff. We wish to thankAlyssa Moncrief and Sanath Nair for research assistance. This paper benefited from helpful comments by numerous friends andcolleagues and conference participants at the 2023 ESSFM Asset Pricing Conference, 2024 MFA Conference, 2024 NortheasternUniversity Finance Conference, SFS Cavalcade 2024, 9th Annual University of Connecticut Finance Conference, 10th “Womenin Microstructure” Meeting (WiMM), as well as seminars at Baruch College, Columbia University, Cornell University, IowaState University, Johns Hopkins