The Highest Price Ever: The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints
研究了1920年代末股市繁荣期间订单激增与纽交所固定经纪人数量之间的冲突，发现席位增加后买卖价差对高峰交易日的敏感度降低，验证了市场效率提升。
A surge in orders during the stock market boom of the late 1920s collided against the constraint created by the fixed number of brokers on the New York Stock Exchange. Estimates of the determinants of individual stock bid-ask spreads from panel data reveal that spreads jumped when volume spiked, confirming contemporary observers complaints that there were insufficient counterparties. When the position of the NYSE as the dominant exchange became threatened, the management of the exchange proposed a 25 percent increase in the number of seats in February 1929 by issuing a quarter-seat dividend to all members. While such a "stock split" would be expected to leave the aggregate value of the NYSE unchanged, an event study reveals that its value rose in anticipation of increased efficiency. These expectations were justified as bid-ask spreads became less sensitive to peak volume days after the increase in seats.