Details of Research Outputs

Prior studies indicate that investors who hold more concentrated investment portfolios perform better. In our paper, we examine whether concentration benefits occur in trading settings. We find that US traders who focus on fewer stocks pay lower order execution costs. Concentrated trading behavior is correlated across different dimensions. Traders who concentrate on a smaller number of stocks also concentrate in fewer market centers, at particular times of the day, and on certain order types. Our results suggest that trading costs vary across market participants, and that by focusing on a smaller subset of securities, traders gain advantages for order execution.