Security brokerage markets under price uncertainty

Chunchi Wu; Peter F. Colwell

doi:10.1016/1042-9573(92)90012-3

Security brokerage markets under price uncertainty

Chunchi Wu
, Peter F. Colwell

Finance

University of Illinois at Urbana-Champaign

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

This paper develops a model of security broker behavior under price uncertainty. The model examines the process of matching orders and the determinants of equilibrium brokerage commission rates. Institutional arrangements, search efficiency, execution costs, volume, risk, and the unit price of the security are shown to affect equilibrium brokerage commission rates. Some stylized facts of security brokerage are explained.

Original language	English
Pages (from-to)	422-448
Number of pages	27
Journal	Journal of Financial Intermediation
Volume	2
Issue number	4
DOIs	https://doi.org/10.1016/1042-9573(92)90012-3
State	Published - Dec 1992

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title = "Security brokerage markets under price uncertainty",

abstract = "This paper develops a model of security broker behavior under price uncertainty. The model examines the process of matching orders and the determinants of equilibrium brokerage commission rates. Institutional arrangements, search efficiency, execution costs, volume, risk, and the unit price of the security are shown to affect equilibrium brokerage commission rates. Some stylized facts of security brokerage are explained.",

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AB - This paper develops a model of security broker behavior under price uncertainty. The model examines the process of matching orders and the determinants of equilibrium brokerage commission rates. Institutional arrangements, search efficiency, execution costs, volume, risk, and the unit price of the security are shown to affect equilibrium brokerage commission rates. Some stylized facts of security brokerage are explained.

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Security brokerage markets under price uncertainty

Abstract

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