The Role of Pre‐Existing Liquidity in Determining Pricing Efficiency and Liquidity Gains Following the Introduction of SETSmm
研究了伦敦证券交易所2003年为中型股引入的SETSmm交易系统对市场质量的影响，发现迁移公告带来小幅回报溢价，且迁移后流动性和定价效率提升，这些改善与回报溢价相关，且对迁移前流动性高的公司效果更强。
Abstract In this paper we examine the impact that the new trading system SETSmm had on market quality measures such as firm value, liquidity and pricing efficiency. This system was introduced for mid‐cap securities on the London Stock Exchange in 2003. We show that there is a small SETSmm return premium associated with the announcement that securities are to migrate to the new trading system. We find that migration to SETSmm also improves liquidity and pricing efficiency and these changes are related to the return premium. We also find that these gains are stronger for firms with high pre SETSmm liquidity and weaker for firms with low SETSmm liquidity .