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Anonymity, Stealth Trading, and the Information Content of Broker Identity


  • This research is funded by the Capital Markets Cooperative Research Centre. The authors would like to thank the Australian Stock Exchange for the provision of data and the Securities Industry Research Centre of Asia Pacific for technical assistance. Work on this paper commenced while Frino was a Fulbright Senior Scholar at the Commodity Futures Trading Commission. This paper has benefited from seminars held at the Australian National University, Cambridge University, Commodity Futures Trading Commission, Cornell University, Georgetown University, Hong Kong Baptist University, Melbourne University, The University of Memphis, The University of Sydney, Universita di Napoli Federico II, Universita di Salerno and Virginia University. Specifically, we gratefully acknowledge the comments of Tom McInish, Maureen O’Hara, Bob Wood, and an anonymous reviewer who helped improve the paper.

Corresponding author: Finance Discipline, Faculty of Economics and Business, University of Sydney, NSW 2006 Australia; Phone: (612) 9351-3915; Fax: (612) 9351-6461; E-mail:


This paper examines whether the identity of a broker involved in transactions contains information. Using a sample of transactions from the Australian Stock Exchange—where broker identity is transparent—we provide evidence that consecutive buyer-/seller-initiated transactions by the same broker have a relatively high permanent price impact. This implies that broker identity conveys information to market participants, and that markets in which broker identity is disclosed are likely to be more efficient. We also find that medium-sized trades by the same broker convey greater information than large and small trades, which is consistent with stealth trading by informed investors.