Chakravarty, Sugato; Wood, Robert A.; Ness, Robert A. Van - In: Journal of Financial Research 27 (2004) 1, pp. 75-94
Using a carefully constructed matched sample of control (nondecimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that the quoted depth as well as the quoted and effective bid-ask spreads declined significantly following...