Tick size, share prices, and stock splits

• 成果类型: Article
• 署名作者: Angel, JJ
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04817.x
• 发表日期: 1997
• 页码: 655-681
• 关键词: VOLATILITY INCREASES SUBSEQUENT; Bid-ask spreads; FUTURES MARKETS; REVERSE SPLITS; BETA-CHANGES; INFORMATION; liquidity; Dividends; BEHAVIOR; returns

摘要

Minimum price variation rules help explain why stock prices vary substantially across countries, and other curiosities of share prices. Companies tend to split their stock so that the institutionally mandated minimum tick size is optimal relative to the stock price. A large relative tick size provides an incentive for dealers to make markets and for investors to provide liquidity by placing limit orders, despite its placing a high floor on the quoted bid-ask spread. A simple model suggests that idiosyncratic risk, firm size, and visibility of the firm affect the optimal relative tick size and thus the share price.