The Effect of Tick Size on Managerial Learning from Stock Prices
The Effect of Tick Size on Managerial Learning from Stock Prices
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DOI：
10.1016/j.jacceco.2022.101515
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发表时间：
2022-05
影响因子：
5.9
通讯作者：
Mao Ye;Miles Zheng;Wei Zhu
中科院分区：
文献类型：
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作者：
Mao Ye;Miles Zheng;Wei Zhu
我们研究了市场微观结构的一个关键特征，即最小报价单位对管理者从股票价格中学习的影响。使用随机控制的刻度大小实验，2016年刻度大小试点计划，我们发现，更大的刻度大小增加了公司对股票价格的投资敏感性，这表明管理人员从股票价格中收集更多的新信息，以指导他们的投资决策。一致的，我们还发现，管理信念的变化，反映在预测资本支出的调整，更强烈地响应市场反馈下的一个较大的刻度大小。更多的证据表明，报价单位大小影响管理学习的机制如下：较大的报价单位大小减少了算法交易，反过来又鼓励基本面信息的获取。基本信息获取的增加会产生关于增长机会、宏观经济因素和行业因素的增量信息，在这些方面，市场相对于管理层具有相对信息优势。
We investigate the effect of tick size, a key feature of market microstructure, on managerial learning from stock prices. Using a randomized controlled tick-size experiment, the 2016 Tick Size Pilot Program, we find that a larger tick size increases a firm's investment sensitivity to stock prices, suggesting that managers glean more new information from stock prices to guide their investment decisions as the tick size increases. Consistently, we also find that changes in managerial beliefs, as reflected in adjustments of forecasted capital expenditures, respond more strongly to market feedback under a larger tick size. Additional evidence suggests the following mechanism through which tick size affects managerial learning: a larger tick size reduces algorithmic trading, in turn encouraging fundamental information acquisition. Increased fundamental information acquisition generates incremental information about growth opportunities, macroeconomic factors, and industry factors, with respect to which the market has a comparative information advantage over management.