This is the accepted version of the paper. This version of the publication may differ from the final published version. Permanent repository link: http://openaccess.city.ac.uk/5165/ Link to published version: http://dx. Abstract Does it matter to market quality if broker identities are revealed after a trade and only to the two traders involved? We find that implementing full anonymity dramatically improves liquidity and reduces trader execution costs. To explain this, we compare theories based

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... on asymmetric information to an order anticipation mechanism, where identity signals trader size, allowing strategic agents to predict the future order flow of large traders. Evidence supports the anticipation hypothesis: liquidity improves most in stocks where trading is heavily concentrated among a few brokers and in stocks susceptible to temporary price pressure. Also, only traders having large market-shares benefit from anonymity. correlation, and spurious asymmetric information. Working paper. Economides, N., Schwartz, R. A., 1995. Equity trading practices and market structure: Assessing asset managers' demand for immediacy. Financial Markets, Institutions and Instruments 4, 1-46. Ellis, K., Michaely, R., O'Hara, M., 2002. The making of a dealer market: From entry