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Article: Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program
Title | Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program |
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Authors | |
Issue Date | 9-Nov-2023 |
Publisher | Elsevier |
Citation | Journal of Financial Markets, 2024, v. 67 How to Cite? |
Abstract | Based on the SEC's Tick Size Pilot Program, we adopt a difference-in-differences design and find that the improved liquidity for large orders increases their ownership of the treatment firms with a larger tick size during the program. The effect is concentrated among firms with lower liquidity for large orders ex ante and mainly comes from dedicated investors and quasi-indexers. We also find that analyst coverage and forecast accuracy increase for the treatment firms, plausibly catering to the increased information demand of institutional investors. Consequently, price efficiency increases as well. Overall, we show the bright side of this controversial program. |
Persistent Identifier | http://hdl.handle.net/10722/339046 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 1.101 |
DC Field | Value | Language |
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dc.contributor.author | Deng, Mengdie | - |
dc.contributor.author | Lin, Tse-Chun | - |
dc.contributor.author | Zhou, Jiayu | - |
dc.date.accessioned | 2024-03-11T10:33:28Z | - |
dc.date.available | 2024-03-11T10:33:28Z | - |
dc.date.issued | 2023-11-09 | - |
dc.identifier.citation | Journal of Financial Markets, 2024, v. 67 | - |
dc.identifier.issn | 1386-4181 | - |
dc.identifier.uri | http://hdl.handle.net/10722/339046 | - |
dc.description.abstract | <p>Based on the SEC's Tick Size Pilot Program, we adopt a difference-in-differences design and find that the improved liquidity for large orders increases their ownership of the treatment firms with a larger tick size during the program. The effect is concentrated among firms with lower liquidity for large orders ex ante and mainly comes from dedicated investors and quasi-indexers. We also find that analyst coverage and forecast accuracy increase for the treatment firms, plausibly catering to the increased information demand of institutional investors. Consequently, price efficiency increases as well. Overall, we show the bright side of this controversial program.<br></p> | - |
dc.language | eng | - |
dc.publisher | Elsevier | - |
dc.relation.ispartof | Journal of Financial Markets | - |
dc.title | Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.finmar.2023.100870 | - |
dc.identifier.volume | 67 | - |
dc.identifier.eissn | 1878-576X | - |
dc.identifier.issnl | 1386-4181 | - |