提高大额订单的流动性是否能吸引机构投资者和分析师？从 "点数大小 "试点计划中获得的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-01-01 DOI:10.1016/j.finmar.2023.100870

Mengdie Deng, Tse-Chun Lin, Jiayu Zhou

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引用次数: 0

摘要

根据美国证券交易委员会的 "股票交易量试点计划"，我们采用了差异设计，发现在该计划实施期间，大额订单流动性的改善增加了他们对股票交易量较大的处理公司的所有权。这种效应主要集中在事前大额订单流动性较低的公司，而且主要来自专门投资者和准指数投资者。我们还发现，处理公司的分析师覆盖率和预测准确率都有所提高，这可能是为了迎合机构投资者对信息需求的增加。因此，价格效率也会提高。总之，我们展示了这一有争议方案的光明面。

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Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program

Based on the SEC's Tick Size Pilot Program, we adopt a difference-in-differences design and find that the improved liquidity for large orders increases their ownership of the treatment firms with a larger tick size during the program. The effect is concentrated among firms with lower liquidity for large orders ex ante and mainly comes from dedicated investors and quasi-indexers. We also find that analyst coverage and forecast accuracy increase for the treatment firms, plausibly catering to the increased information demand of institutional investors. Consequently, price efficiency increases as well. Overall, we show the bright side of this controversial program.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.