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Research & Publications Office to host seminar on ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’ on 30 July

The talk will be delivered by Prof. Tarun Chordia, Emory University

25 July, 2025, Bengaluru: The Office of Research and Publications (R&P) will host a seminar on, ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’, to be led by Prof. Tarun Chordia, Emory University (Finance & Accounting area), at 11.30 am on 30th July 2025, at P22.

Abstract: The researchers develop a big data methodology to estimate true stock prices and liquidity, explicitly accounting for rounding effects from the minimum tick size. Applying this approach to the tick size pilot (TSP), which increased tick size for randomly selected stocks, they found that the TSP boosts market-maker profits but does not enhance liquidity. This result aligns with theoretical predictions but contrasts with prior empirical studies. The rounding-adjusted liquidity measures, unlike traditional metrics, capture TSP-induced trading restrictions and reduced inventory holdings of market-makers and exhibit less dispersion across exchanges, thus validating the methodology and the accuracy of the researchers’ refined liquidity measures.

Speaker Profile: Prof. Tarun Chordia received his PhD in Finance from the Anderson School of Management, UCLA. Prior to his doctoral studies, he worked for Citibank as a Relationship and Credit Manager in the Financial Institutions Group. He has been an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University. He joined the Goizueta Business School at Emory University in 2000.

Prof. Chordia’s research is grounded in both theory and empirical methods and spans a diverse area of Financial Economics. He has published extensively in top finance journals, including The Journal of Finance, Journal of Financial Economics, The Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, Review of Finance and Management Science. He has received numerous awards for his research on empirical asset pricing and market microstructure. He has been the Managing Editor of the Journal of Financial Markets and a past Associate Editor of The Review of Financial Studies. He is on the program committee for numerous conferences and is a referee for several journals.

Webpage Link: https://goizueta.emory.edu/faculty/profiles/tarun-chordia

Add to Calendar 2025-07-30 05:30:00 2025-07-26 17:28:21 Research & Publications Office to host seminar on ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’ on 30 July The talk will be delivered by Prof. Tarun Chordia, Emory University 25 July, 2025, Bengaluru: The Office of Research and Publications (R&P) will host a seminar on, ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’, to be led by Prof. Tarun Chordia, Emory University (Finance & Accounting area), at 11.30 am on 30th July 2025, at P22. Abstract: The researchers develop a big data methodology to estimate true stock prices and liquidity, explicitly accounting for rounding effects from the minimum tick size. Applying this approach to the tick size pilot (TSP), which increased tick size for randomly selected stocks, they found that the TSP boosts market-maker profits but does not enhance liquidity. This result aligns with theoretical predictions but contrasts with prior empirical studies. The rounding-adjusted liquidity measures, unlike traditional metrics, capture TSP-induced trading restrictions and reduced inventory holdings of market-makers and exhibit less dispersion across exchanges, thus validating the methodology and the accuracy of the researchers’ refined liquidity measures. Speaker Profile: Prof. Tarun Chordia received his PhD in Finance from the Anderson School of Management, UCLA. Prior to his doctoral studies, he worked for Citibank as a Relationship and Credit Manager in the Financial Institutions Group. He has been an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University. He joined the Goizueta Business School at Emory University in 2000. Prof. Chordia’s research is grounded in both theory and empirical methods and spans a diverse area of Financial Economics. He has published extensively in top finance journals, including The Journal of Finance, Journal of Financial Economics, The Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, Review of Finance and Management Science. He has received numerous awards for his research on empirical asset pricing and market microstructure. He has been the Managing Editor of the Journal of Financial Markets and a past Associate Editor of The Review of Financial Studies. He is on the program committee for numerous conferences and is a referee for several journals. Webpage Link: https://goizueta.emory.edu/faculty/profiles/tarun-chordia IIM Bangalore IIM Bangalore communications@iimb.ac.in Asia/Kolkata public
30 Jul 2025

Research & Publications Office to host seminar on ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’ on 30 July

Add to Calendar 2025-07-30 05:30:00 2025-07-26 17:28:21 Research & Publications Office to host seminar on ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’ on 30 July The talk will be delivered by Prof. Tarun Chordia, Emory University 25 July, 2025, Bengaluru: The Office of Research and Publications (R&P) will host a seminar on, ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’, to be led by Prof. Tarun Chordia, Emory University (Finance & Accounting area), at 11.30 am on 30th July 2025, at P22. Abstract: The researchers develop a big data methodology to estimate true stock prices and liquidity, explicitly accounting for rounding effects from the minimum tick size. Applying this approach to the tick size pilot (TSP), which increased tick size for randomly selected stocks, they found that the TSP boosts market-maker profits but does not enhance liquidity. This result aligns with theoretical predictions but contrasts with prior empirical studies. The rounding-adjusted liquidity measures, unlike traditional metrics, capture TSP-induced trading restrictions and reduced inventory holdings of market-makers and exhibit less dispersion across exchanges, thus validating the methodology and the accuracy of the researchers’ refined liquidity measures. Speaker Profile: Prof. Tarun Chordia received his PhD in Finance from the Anderson School of Management, UCLA. Prior to his doctoral studies, he worked for Citibank as a Relationship and Credit Manager in the Financial Institutions Group. He has been an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University. He joined the Goizueta Business School at Emory University in 2000. Prof. Chordia’s research is grounded in both theory and empirical methods and spans a diverse area of Financial Economics. He has published extensively in top finance journals, including The Journal of Finance, Journal of Financial Economics, The Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, Review of Finance and Management Science. He has received numerous awards for his research on empirical asset pricing and market microstructure. He has been the Managing Editor of the Journal of Financial Markets and a past Associate Editor of The Review of Financial Studies. He is on the program committee for numerous conferences and is a referee for several journals. Webpage Link: https://goizueta.emory.edu/faculty/profiles/tarun-chordia IIM Bangalore IIM Bangalore communications@iimb.ac.in Asia/Kolkata public

The talk will be delivered by Prof. Tarun Chordia, Emory University

25 July, 2025, Bengaluru: The Office of Research and Publications (R&P) will host a seminar on, ‘True Liquidity and Fundamental Prices: US Tick Size Pilot’, to be led by Prof. Tarun Chordia, Emory University (Finance & Accounting area), at 11.30 am on 30th July 2025, at P22.

Abstract: The researchers develop a big data methodology to estimate true stock prices and liquidity, explicitly accounting for rounding effects from the minimum tick size. Applying this approach to the tick size pilot (TSP), which increased tick size for randomly selected stocks, they found that the TSP boosts market-maker profits but does not enhance liquidity. This result aligns with theoretical predictions but contrasts with prior empirical studies. The rounding-adjusted liquidity measures, unlike traditional metrics, capture TSP-induced trading restrictions and reduced inventory holdings of market-makers and exhibit less dispersion across exchanges, thus validating the methodology and the accuracy of the researchers’ refined liquidity measures.

Speaker Profile: Prof. Tarun Chordia received his PhD in Finance from the Anderson School of Management, UCLA. Prior to his doctoral studies, he worked for Citibank as a Relationship and Credit Manager in the Financial Institutions Group. He has been an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University. He joined the Goizueta Business School at Emory University in 2000.

Prof. Chordia’s research is grounded in both theory and empirical methods and spans a diverse area of Financial Economics. He has published extensively in top finance journals, including The Journal of Finance, Journal of Financial Economics, The Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, Review of Finance and Management Science. He has received numerous awards for his research on empirical asset pricing and market microstructure. He has been the Managing Editor of the Journal of Financial Markets and a past Associate Editor of The Review of Financial Studies. He is on the program committee for numerous conferences and is a referee for several journals.

Webpage Link: https://goizueta.emory.edu/faculty/profiles/tarun-chordia