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Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity
16 references·4 citing·40 second hop
Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity (2019)Making cents of tick sizes: The effect of…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Presidential Address: Liquidity and Price Discovery (2003)Presidential Address: Liquidi…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…Tick Size, Share Prices, and Stock Splits (1997)Tick Size, Share Prices, and …Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Endogenous Market Thinness and Stock Price Volatility (1989)Endogenous Market Thinness an…Liquidity and Market Structure (1988)Liquidity and Market StructureLiquidity and Stock Returns (1986)Liquidity and Stock ReturnsContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Tick Size and Earnings Guidance in Small-Cap Firms: Evidence from the SEC’s Tick Size Pilot Program (2023)Tick Size and Earnings Guidan…When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior (2022)When Bigger is Better: The Im…Tick Size Wars: The Market Quality Effects of Pricing Grid Competition (2022)Tick Size Wars: The Market Qu…Gauging the effects of stock liquidity on earnings management: Evidence from the SEC tick size pilot test (2021)Gauging the effects of stock …The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Theory of Auctions and Competitive Bidding (1982)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Illiquidity and stock returns: cross-section and time-series effects (2002)Financial reporting quality and idiosyncratic return volatility (2010)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Business sustainability performance and cost of equity capital (2015)Price, trade size, and information in securities markets (1987)Estimating the components of the bid/ask spread (1988)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Corporate Governance and Liquidity (2010)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Dynamic Model of the Limit Order Book (2009)Optimal trading strategy and supply/demand dynamics (2012)High frequency market microstructure (2015)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Liquidity and leverage (2008)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 2003Presidential Address: Liquidity and Price Discovery652 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
  • 1986Liquidity and Stock Returns391 cited
  • 1997Tick Size, Share Prices, and Stock Splits387 cited
  • 1989Endogenous Market Thinness and Stock Price Volatility

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293 cited

Cited by

  • 2022Tick Size Wars: The Market Quality Effects of Pricing Grid Competition42 cited
  • 2021Gauging the effects of stock liquidity on earnings management: Evidence from the SEC tick size pilot test34 cited
  • 2022When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior31 cited
  • 2023Tick Size and Earnings Guidance in Small-Cap Firms: Evidence from the SEC’s Tick Size Pilot Program18 cited