We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, stock liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment effects, which may distort difference-in-differences...

Price impact measures the difference between the best quoted price and the realized price as a function of order size. This paper analyzes how price impact depends on the latency that a market maker is subject to. I propose a tractable model which allows incorporating both order size and latency...

We investigate the impact of the French 2012 financial transaction tax on trading volumes and volatility. We extend empirical research by analyzing announcement and short-run treatment effects, migration effects, and long-run volatility measures. We find a strong short-run impact on trading...