Margin regulation and market quality: a microstructure analysis - HEC Paris - École des hautes études commerciales de Paris Accéder directement au contenu
Article Dans Une Revue Journal of Corporate Finance Année : 2004

Margin regulation and market quality: a microstructure analysis

Gordon J. Alexander
  • Fonction : Auteur
Mark A. Peterson
  • Fonction : Auteur
Paul J. Seguin
  • Fonction : Auteur

Résumé

We find that trading volume increases and market liquidity remains unchanged, while the adverse selection and order-processing cost components of the spread increase and decrease, respectively, after margin levels decline when stocks become margin-eligible. This evidence indicates that the information content of trades has increased, thereby improving market quality. However, no changes were detected after the 1997 regulatory reforms. These results have implications across a broad swath of corporate finance dimensions, including the (1) cost of capital, (2) public vs. private financing decision, (3) form of managerial compensation, (4) type of ownership structure, and (5) degree of shareholder monitoring.

Domaines

Dates et versions

hal-00460981 , version 1 (03-03-2010)

Identifiants

Citer

Evren Ors, Gordon J. Alexander, Mark A. Peterson, Paul J. Seguin. Margin regulation and market quality: a microstructure analysis. Journal of Corporate Finance, 2004, Vol.10,n°4, pp.549-574. ⟨10.1016/S0929-1199(02)00048-2⟩. ⟨hal-00460981⟩

Collections

HEC CNRS
34 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More