This paper offers a systematic review of the empirical literature on the implications of tick
size changes for exchanges. Our focus is twofold: first, we are concerned with the market …

Using trade and quote data from the NYSE, we examine the relation between dealer
attention, dealer revenue, and the probability of informed trade. We find that dealer revenue …

When the securities laws were enacted, the goal of securities regulation was perceived as
protecting the “ordinary” investor (Winter 1988). However, modern scholars of securities …

This paper reviews the up-to-date theoretical, empirical, and experimental literature related
to the trading venue choice in the context of the fragmented equity markets. We provide a …

We examine the liquidity providing behavior of NASDAQ market makers surrounding two
periods of changing dealer obligation. The first change in November, 2007 is the relaxation …

The finance literature documents a significant post‐decimalization decline in intermarket
quote competitiveness. We show that this result is due primarily to the decline in 100‐share …

Assessing the economic value of increasingly precise covariance estimates is of great
interest in finance. We present a realized tick-time covariance estimator that incorporates …

ABSTRACT A common belief is that individual investors are noise traders that distort stock
prices. Because accurate share prices are important for economic functioning, the market …

Shares of company stocks are widely held by individuals and institutions in developed
economies, and the conditions that affect the cost and ability of shareholders to trade them …