We characterize the equity holding periods for all equity owners in a stock market over a 15 year period. The median holding period is 0.75 years. We show that the hazard function for equity ownership is characterized by negative aging, an equity owner is less and less likely to realize a...

We explore the effects of a "tick size war" where European exchanges competed directly on the minimum pricing increment in the limit order book, the tick size. We find exchanges that reduced their tick size immediately captured market shares of quoted and executed volume from exchanges that kept...

The COVID-19 pandemic has caused some of the largest - and fastest - market dislocations in modern history. Contemporaneous with the significant fall in equity market values is the evaporation of market liquidity. We show that transactions costs increase sharply in a coordinated fashion across...