Algorithmic trading and market quality: International evidence of the impact of errors in colocation dates
发现不同来源的交易所共置日期存在显著差异，平均误差达12.75个月，最大达46个月，并证明这些日期错误会影响对市场效率的研究结论。
This paper examines evidence on colocation dates and their impact on market efficiency. International colocation dates can be sourced from a number of avenues including: [1] an 'exchange's news announcements and reports, [2] news media, and [3] by direct communication with the officers of an exchange. Boehmer et al. (2021) report colocation dates based on [1] and [2] and do not reference prior work that reports colocation dates that are primarily sourced from [3]. The consequence is that the discrepancies between prior studies and Boehmer et al. (2021) are significant and economically meaningful: the errors average 12.75 months with the largest being 46 months. This paper documents these discrepancies and provides evidence of how these differences in colocation dates matter for evidence of their impact on market efficiency.