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 …

Using limit order books across all US exchanges, we show that while liquidity for small
orders (eg, the quoted and effective spreads) decreases, liquidity for large orders (eg, the …

We investigate the effects of a tick-size reduction on market quality in a multiperiod limit
order book market. For illiquid stocks, reducing the tick size facilitates undercutting and …

Abstract Theory suggests that dark pools may facilitate or discourage information
acquisition. We find that more dark pool trading leads to greater information acquisition. We …

Approximately 27% of trading volume is routed from retail brokerages to seven market-
making firms (“internalizers”). We estimate that two of these firms, Citadel and Virtu, handle …

This study examines the impact of zero fees on market quality. This issue is examined using
a natural experiment in Bitcoin provided by the Binance exchange, which eliminated maker …

We examine the speed and mechanism of the price discovery process following earnings
announcements in the after‐hours market, a very illiquid trading environment. Prices reflect …

This paper examines whether larger tick sizes improve or hinder price efficiency for small‐
capitalization stocks using data from implementing and terminating the Tick Size Pilot …

The European equity trading landscape of 2022 is a complex mix of exchanges, dark pools,
dealers, and auctions. The once dominant national stock exchanges are now part of global …

We document significant changes in the relative price discovery of US markets after the
implementation of the SEC's Tick Size Pilot Program (TSPP). Controlling for the volume …