Professor of Finance
Robert has consulted for Fidelity, the New York Stock Exchange, LaBranche, Goldman Sachs, NYFIX, NASDR, the Nasdaq Intermarket, Archipelago, Susquehanna, and Knight Securities. His primary area of interest involves the relationship between financial market design and trading costs. He is currently studying whether the post-earnings announcement drift survives transactions costs, who trades on accruals information, trading costs in the equity option market, and price discovery in option markets. Robert’s work has appeared in the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, among others. Robert has been quoted in the Wall Street Journal, the Dallas Morning News, the Newark Star Ledger, Inc Magazine, Business Week On-Line, the New York Times, the Boston Globe, the Wall Street Letter, Christian Science Monitor, CNNfn, USA Today, Barrons, and Securities Week.
“Can Brokers Have it All? On the Relation between Make-Take Fees and Limit Order Execution Quality” with Shane Corwin and Robert Jennings, Journal of Finance 2016.
We identify retail brokers that seemingly route orders to maximize order flow payments, by selling market orders and sending limit orders to venues paying large liquidity rebates. Angel, Harris, and Spatt argue that such routing may not always be in customers’ best interests. For both proprietary limit order data and a broad sample of trades from TAQ, we document a negative relation between several measures of limit order execution quality and rebate/fee level. This finding suggests that order routing designed to maximize liquidity rebates does not maximize limit order execution quality and thus brokers cannot have it all.