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Keywords: microstructure
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Journal Articles
Journal:
The Accounting Review
The Accounting Review (2022) 97 (6): 417–443.
Published: 01 October 2022
... 1968 ). We show that return noise due to microstructure frictions and mispricing affects this ratio, and that effect is comparable to or exceeds that of information content. We use the SEC's Tick Size Pilot program to confirm the causal effect of return noise on the ratio, and to evaluate alternative...