To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in US Options Markets

被引：14

作者：

Battalio, Robert ^{[1
]}

Shkilko, Andriy ^{[2
]}

Van Ness, Robert ^{[3
]}

机构：

[1] Univ Notre Dame, Mendoza Coll Business, Notre Dame, IN 46556 USA

[2] Wilfrid Laurier Univ, Sch Business & Econ, Waterloo, ON N2L 3C5, Canada

[3] Univ Mississippi, Sch Business, University, MS 38677 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2016年 / 51卷 / 05期

基金：

加拿大创新基金会;

关键词：

BID-ASK SPREADS; EXECUTION QUALITY; INFORMATION; COMPETITION; SECURITIES; PRICE; LIQUIDITY; DEALERS;

D O I：

10.1017/S0022109016000582

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Consistent with prior literature, we find that average relative effective spreads are higher for venues that pay for order flow (PFOF) than for venues utilizing the maker-taker (MT) model. This relation becomes more nuanced when liquidity fees are incorporated into liquidity cost measures. For the majority of options, PFOF venues offer lower average liquidity costs net of taker fees. Net liquidity costs for the high-priced options, however, are lower for MT venues. Overall, our results suggest that the inclusion of fees and rebates can rationalize the routing of most, but not all, marketable orders to PFOF venues.

引用

页码：1637 / 1662

页数：26