The price effects of liquidity shocks: A study of the SEC's tick size experiment

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Song, Shiyun; Yao, Chen
• 署名单位: Boston College; European Corporate Governance Institute; Centre for Economic Policy Research - UK; The Vanguard Group, Inc.; Chinese University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.07.002
• 发表日期: 2020
• 页码: 700-724
• 关键词: Tick size pilot; liquidity; Information risk; Price efficiency; News response; Investor horizon; liquidity risk; Liquidity premium; cost of capital; JOBS Act; SEC

摘要

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 chosen stocks, we find a stock price decrease between 1.75% and 3.2% for small spread stocks affected by the larger tick size relative to a control group. We find that the increase in the present value of transaction costs accounts for a small percentage of the price decrease. We study channels of price variation due to changes in expected returns: information risk, investor horizon, and liquidity risk. The evidence suggests that trading frictions affect the cost of capital. (C) 2020 The Author(s). Published by Elsevier B.V.