| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12486 |
| DP12486 The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment | |
| Rui Albuquerque | |
| 发表日期 | 2017-12-04 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper studies the SEC’s pilot program that increased the tick size for approximately 1,200 randomly chosen stocks. We provide causal evidence of a negative impact of a larger tick size on stock prices equivalent to roughly $7 billion investor loss. We investigate direct and indirect effects of the tick size change on stock prices. We find that treated stocks experience a reduction in liquidity, but find no significant change in liquidity risk. Test stocks experience a decline in price efficiency consistent with an increase in information risk. The evidence suggests that trading frictions affect the cost of capital. |
| 主题 | Financial Economics |
| 关键词 | Tick size pilot program Liquidity Price efficiency News response rate Liquidity risk Liquidity premium Information risk Investor horizon Jobs act |
| URL | https://cepr.org/publications/dp12486 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541297 |
| 推荐引用方式 GB/T 7714 | Rui Albuquerque. DP12486 The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment. 2017. |
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