We study the effects of changes in bid-ask spreads on the prices and trading volumes of stocks that move from Nasdaq to the NYSE or Amex, and stocks move from Amex to Nasdaq. When stocks move from Nasdaq to an exchange, their spreads typically decrease, but the reduction in spreads is much...

We provide a framework for evaluating various proposed changes in the NASDAQ market including a reduction of the minimal tick size, the abolition of preferencing, and measures designed to ensure that market makers do not avoid odd-eighth quotes. We do so by explicitly modeling the interaction...

This paper argues that the standard competitive equilibrium result that prices will be driven down to the level of marginal cost cannot be routinely applied to the NASDAQ market without explicitly taking into account the institutional features of this market. We show that price competition among...

We study the effects of changes in bid-ask spreads on the prices and trading volumes of stocks that move from Nasdaq to the NYSE or Amex, and stocks that move from Amex to Nasdaq. When stocks move from Nasdaq to an exchange, their spreads typically decrease, but the reduction in spreads is...

We model the behavior of Nasdaq momentum traders, also known as SOES bandits. We show that the profitability of SOES bandits decreases in the bid-ask spread, but increases in the effective tick size (ceteris paribus). The patterns we observe in the data are consistent with the model