Using limit order books across all U.S. exchanges, we show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity for large orders (e.g., the cumulative depth and the price impact of multiple trades) improves after the implementation of the Tick Size...

The implementation of the new revenue recognition standard (ASC 606) has significantly changed the impact of earnings announcements on various measures of market quality and trading activities. In contrast to prior research findings, we show that earning announcements are accompanied by a...