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...