The Price Effects of Liquidity Shocks: A Study of the SEC's Tick Size Experiment
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摘要Do stock prices of publicly listed companies respond to changes in transaction costs? Using the SEC’s pilot program that increased the tick size for approximately 1,200 randomly chosen stocks, we find a stock price decrease between 1.75% and 3.2% for small spread stocks affected by the larger tick size relative to a control group. We find that the increase in the present value of transaction costs accounts for a small percentage of the price decrease. We study channels of price variation due to changes in expected returns: information risk, investor horizon, and liquidity risk. The evidence suggests that trading frictions affect the cost of capital.
出版社接受日期13.10.2019
著者Rui Albuquerque, Shiyun Song, Chen Yao
期刊名稱Journal of Financial Economics
出版年份2019
國際標準期刊號0304-405X
語言美式英語

上次更新時間 2021-23-01 於 23:55