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Journal of Finance Vol. 80 No. 5 2025

The “Actual Retail Price” of Equity Trades

Christopher G. Schwarz1; Brad Barber; Xing Huang; Philippe Jorion; Terrance Odean2,3

1 Concordia University Irvine · 2 Georgetown University · 3 University of California, Berkeley

open access

Abstract

We compare execution quality of six brokerage accounts across five brokers by generating a sample of 85,000 simultaneous market orders. Commission levels and payment for order flow (PFOF) differ across our accounts. We find that execution prices vary significantly across brokers: the mean account‐level round‐trip cost ranges from 0.07% to 0.46%, excluding any commissions. The dispersion is due to off‐exchange wholesalers systematically giving different execution prices for the same trades to different brokers. Across brokers, variation in PFOF does not explain the large variation in price execution. We provide several suggestions for more informative disclosures on execution quality.

DOI
10.1111/jofi.13467
Volume
80
Issue
5
Pages
2507-2541
Language
en
Sources
crossref bibtex:phds-export.bib openalex

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