Tick Size and Institutional Trading Costs: Evidence from Mutual Funds
通过比较共同基金日收益率与零交易成本的合成基准组合，发现美国股市最小报价单位两次缩小（从八分之一到十六分之一再到十进制）后，主动管理基金的平均交易成本上升，其中十进制化后上升更显著，而指数基金交易成本未受影响。
Abstract This paper measures changes in mutual fund trading costs following two reductions in the tick size of U.S. equity markets: the switch from eighths to sixteenths and the subsequent switch to decimals. We estimate trading costs by comparing a mutual fund's daily returns to the daily returns of a synthetic benchmark portfolio that matches the fund's holdings but has zero trading costs by construction. We find that the average change in trading costs of actively managed funds was positive following both reductions in tick size with a larger and statistically significant increase following decimalization. In contrast, index fund trading costs were unaffected.