科研成果详情

We examine factors related to slower order execution for U.S. equity investors. Those who use more diverse trading strategies, and are less informed, are more likely to exhibit slower order execution. At the order-level, execution tends to take longer on larger orders, sell orders, and at times when the bid-ask spread is wider and market depth is higher. Greater trading delay is also more prevalent on smaller and less actively traded stocks. When an execution delay occurs, the likelihood increases of executing at a worse price and significant costs arise.