金融与财务学系系列讲座之274期

时    间：2022年11月8日（周二）09:30-11:00

Zoom会议号：895 7582 1575

密    码：210317

主    题：True Liquidity and Fundamental Prices: US Tick Size Pilot

演讲者：Tarun Chordia  教授  Goizueta Business School, Emory University

摘    要：We develop a big-data methodology to estimate true stock prices and liquidity, explicitly considering rounding due to the minimum tick size. We apply our method to evaluate the tick size pilot (TSP), which increased the tick size for randomly chosen stocks. While the TSP increases market-maker profits, it does not improve liquidity. This is consistent with theoretical models but contrasts with existing empirical studies. Rounding-adjusted liquidity measures are validated by showing that they, unlike the existing liquidity measures, capture the TSP- induced trading restrictions, the decreased inventory holdings of market-makers, and exhibit less dispersion across exchanges. Accounting for rounding is important.

简    介：Professor Tarun Chordia is the R. Howard Dobbs, Jr. Chaired Professor of Finance at the Goizueta Business School, Emory University. He received his PhD in finance from the Anderson School, UCLA, in 1993. Professor Chordia’s research is grounded in both theory and empirical methods and spans a diverse area of financial economics. Professor Chordia has published extensively in the top finance journals, including Journal of Finance, Journal of Financial Economics, the Review of Financial Studies, etc. He has received numerous awards for his research on empirical asset pricing and market microstructure. He is currently the managing editor of the Journal of Financial Markets and a past associate editor of Review of Financial Studies.

金融与财务学系

2022-11-03