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Keywords: algorithmic tradingClose
Journal: The Accounting Review
The Accounting Review (2021) 96 (3): 373–401.
Published: 01 May 2021
...Charles M. C. Lee; Edward M. Watts ABSTRACT This study examines how an increase in tick size affects algorithmic trading (AT), fundamental information acquisition (FIA), and the price discovery process around earnings announcements (EAs). Leveraging the SEC's randomized Tick Size Pilot experiment...