Dealer attention, the speed of quote adjustment to information, and net dealer revenue
Using trade and quote data from the NYSE, we examine the relation between dealer attention, dealer revenue, and the probability of informed trade. We find that dealer revenue net of losses to better-informed traders in NYSE stocks is positively related to the speed at which quotes adjust to full inf...
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| Veröffentlicht in: | Journal of banking & finance 2009-08, Vol.33 (8), p.1531-1542 |
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| container_issue | 8 |
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| container_title | Journal of banking & finance |
| container_volume | 33 |
| creator | Boulatov, Alex Hatch, Brian C. Johnson, Shane A. Lei, Adam Y.C. |
| description | Using trade and quote data from the NYSE, we examine the relation between dealer attention, dealer revenue, and the probability of informed trade. We find that dealer revenue net of losses to better-informed traders in NYSE stocks is positively related to the speed at which quotes adjust to full information levels. The speed of quote adjustment is faster for stocks with greater dealer attention, as measured by a stock’s relative prominence at its post and panel location on the NYSE floor. The level of dealer attention in turn is positively related to a stock’s probability of information-based trading. The results are consistent with a theoretical model we derive in which dealers trade multiple securities and must optimally allocate their limited attention to monitoring order flow to minimize losses to better-informed traders. |
| doi_str_mv | 10.1016/j.jbankfin.2009.03.001 |
| format | Article |
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| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 2009-08, Vol.33 (8), p.1531-1542 |
| issn | 0378-4266 1872-6372 |
| language | eng |
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| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Allocations Attention Correlation analysis Dealers Dealers Market design Limited attention Market quality Trading costs Financial performance Information Information acquisition Limited attention Market design Market quality Market structure Profitability Securities trading Studies Time Traders Trading costs |
| title | Dealer attention, the speed of quote adjustment to information, and net dealer revenue |
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