We model two methods of executing segregated retail orders: brokers' routing, whereby brokers allocate orders using the market maker's overall performance, and order‐by‐order auctions, where market makers bid on individual orders, a recent U.S. Securities and Exchange Commission proposal. Order‐by‐order auctions improve allocative efficiency, but face a winner's curse reducing retail investor welfare, particularly when liquidity is limited. Additional market participants competing for retail orders fail to improve total efficiency and investor welfare when entrants possess information superior to incumbent wholesalers. Our results hold when new entrants are less informed or the information structure differs. We also examine the cross‐subsidization of brokers' routing.

中文翻译：

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逐个订单拍卖是否具有竞争性？


我们模拟了两种执行独立零售订单的方法：经纪人路由，经纪人利用做市商的整体表现分配订单，以及逐订单拍卖，做市商对单个订单出价，这是美国证券交易委员会最近的一项提案。逐个订单拍卖提高了分配效率，但面临着降低散户投资者福利的赢家诅咒，尤其是在流动性有限的情况下。当进入者拥有优于现有批发商的信息时，竞争零售订单的其他市场参与者无法提高总效率和投资者福利。当新进入者信息较少或信息结构不同时，我们的结果成立。我们还研究了经纪人路由的交叉补贴。