Trading Fees and Efficiency in Limit Order Markets
研究显示降低交易费用可能损害限价订单市场投资者的预期福利，因为投资者会策略性地提交执行概率更低的限价订单以获取更大盈余，从而降低交易可能性。
Common wisdom has it that competition between trading platforms in securities markets benefits investors because it forces platforms to charge smaller fees. We challenge this view by showing that a decrease in trading fees can impair investors ’ expected welfare in limit order markets. Indeed, a decrease in trading fees can induce investors to strategically post limit orders with a smaller execution probability, in order to earn a greater surplus in case of execution. Hence, a decrease in trading fees yields larger gains from trade when a trade takes place but it can reduce the likelihood of a trade in the first place. The model has testable implications for the effects of a change in trading fees and their breakdown between investors submitting limit orders (makers) and market orders (takers) on limit order fill rates and various measures of bid-ask spreads.