We investigate the differences in market microstructure between U.S. and non-U.S. stocks cross-listed on the New York Stock Exchange using a sample of 316 pairs of matched stocks. We find that non-U.S. stocks have wider spreads and larger adverse-selection costs than U.S. stocks even after...

Using a carefully constructed matched sample of control (nondecimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that the quoted depth as well as the quoted and effective bid-ask spreads declined significantly following...