We find that investment responds more sensitively to a firm's Tobin's q when its share price is more discrete. Low-price U.S. stocks exhibit higher investment-q sensitivity, but this pattern disappears in countries whose tick sizes increase with share prices. Using Tick Size Pilot Program as a...

We track information diffusion in real time by monitoring how the news is tweeted and retweeted on Twitter. We find that news diffusion is highly correlated with intraday trading, especially for retail trading. News diffusion leads to a lower bid-ask spread and price pressure on the news day...

Security trading now fragments into more than 10 almost identical stock exchanges in the United States. We show that discrete pricing is one economic force that prevents the consolidation of trading volume. The uniform one-cent tick size (minimum price variation), imposed by the SEC's Rule 612,...

We argue that a one-penny minimum tick size for all stocks priced above $1 (SEC rule 612) encourages high-frequency trading and taker/maker–fee markets. We find that non-high frequency traders (non-HFTers) are 2.62 times more likely than HFTers to provide best prices, thereby establishing...

This paper uses wavelets to decompose each stock's trading-volume variance into frequency-specific components. We find that stocks dominated by short-run fluctuations in trading volume have abnormal returns that are 1% per month higher than otherwise similar stocks where short-run fluctuations...

This paper uses wavelets to decompose each stock's trading-volume variance into frequency-specific components. We find that stocks dominated by short-run fluctuations in trading volume have abnormal returns that are 1% per month higher than otherwise similar stocks where short-run fluctuations...

We analyze how a large informed trader chooses between a lit exchange and a dark pool. We show that (1) the market share of the dark pool increases when the informed trader trades; (2) the market share of the dark pool increases more when the value of information is higher; and (3) price...