This paper addresses the question of whether transaction costs affect stock prices. This question, in the intersection of market microstructure and asset pricing, has no supportive causal evidence to this date, which may explain the omission of transaction costs in mainstream asset pricing...

Do stock prices of publicly listed companies respond to changes in transaction costs? Using the SEC's pilot program that increased the tick size for approximately 1,200 randomly chosen stocks, we find a stock price decrease between 1.75% and 3.2% for small spread stocks affected by the larger...

Using Internet search volume for lottery to capture gambling sentiment shifts, we show that when the overall gambling sentiment is high, investor demand for lottery-like stocks increases, these stocks earn positive short-run abnormal returns, managers are more likely to announce stock splits to...

When price competition is constrained by tick size, speed allocates the resources due to the time priority rule. We demonstrate three implications of competition in speed. 1) We find more high frequency liquidity provision for lower price stocks with high market cap, where the one cent tick size...

Hong Kong introduced the Closing Auction Session (CAS) to the HKEX securities market in 2016. Under the CAS, trading is extended by an extra 8-10 minutes after the daily trading session ends at 16:00 to determine the closing price for the day. Trading under the CAS is in the form of a single...

We find the well-documented U-shaped intraday patterns of stock liquidity, volume, and price volatility for the U.S. stock market have disappeared. Bid-ask spreads tend to decrease, not increase, toward the close of the trading day; trading volume disproportionally concentrates in the last five...