Measuring institutional trading costs and the implications for finance research: The case of tick size reductions
作者： Gregory W. Eaton , Paul J. Irvine , Tingting Liu
DOI: 10.1016/J.JFINECO.2020.09.003
关键词:
摘要: Abstract Using proprietary institutional trade data, we construct a price impact measure that represents the costs faced by investors. We show many widely used liquidity measures do not adequately capture trading costs. then find are dramatically impacted decimalization, casting doubt on identification strategy employs decimalization as an exogenous shock to liquidity, particularly liquidity. Indeed, conclusions from prior research significantly altered when using data.
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