Specialist Gross Trading Revenues at the New York Stock Exchange

摘要: In this paper, we use April 1993 specialist transaction data on 200 NYSE stocks to estimate average gross trading revenues. We define revenues as the daily change in specialist's dollar inventory position plus trade-associated cash position. that sampled $670 per stock day or 0.4 cents share traded. Of sample stocks, sixty most actively traded account for virtually all The twenty 63 percent of disaggregate into spread and positioning Spread are reliable component revenues, averaging $970 day. Positioning losses averaged $300 On average, therefore, about one third go offset losses. Specialist vary by trade size: specialists earn 9 (round-trip) from small trades 6 larger trades. Finally, find extensively inside quoted spread. Only 37 buy trades, example, take place at bid; 42 occur between bid midpoint quote 20 above midpoint.