Based on SEC’s Tick Size Pilot Program, we hypothesize and find that the improved liquidity for large orders disproportionately reduces the execution cost of institutional investors and thus increases their ownership of the treated firms with a larger tick size during the pilot program. The...

This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the stock price, and liquidity. The framework generalizes existing models by...