金融与财务学系系列讲座之273期

时    间：2022年10月25日（周二）20:00-21:30

Zoom会议号：835 2580 0822

密    码：909037

主    题：The Liquidity-Maximizing Price Of A Stock: A Tale Of Two Discretenesses

演讲者：叶茂  副教授 康奈尔大学Johnson管理学院

摘    要：Economists commonly assume that price and quantity are continuous variables, while in reality both are discrete. As U.S. regulations mandate a one-cent minimum tick size and a 100-share minimum lot size, we predict that less volatile and more active stocks will choose higher prices to make pricing more continuous and quantity more discrete. Despite heterogeneous optimal prices, all firms achieve their liquidity-maximizing prices when their bid-ask spreads equal two ticks, i.e. when frictions from discrete pricing equal those from discrete lots. Empirically, our theoretical model explains 57% of cross-sectional variations in stock prices and 81% of cross-sectional variations in bid-ask spreads. The adjustment toward liquidity-maximizing prices rationalizes 91% of stock splits and contribute 94 bps to split announcement returns. Liquidity-maximizing pricing could increase median U.S. stock value by 106 bps and total U.S. market capitalization by $93.7 billion.

简    介：Professor Mao Ye is an Associate Professor of Finance at the Johnson Graduate School of Management, Cornell University. He earned his Ph.D. from Cornell University in 2011. His research focuses on market microstructure, big data and fintech. His research has been published in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, etc. He delivered the keynote speech on “Big Data in Finance” at the 41st Annual NBER Summer Institute.

金融与财务学系

2022-10-25