Make and Take Fees in the U.S. Equity Market

Abstract:     
We study make and take fees on the U.S. stock exchanges, documenting that exchange trading volume depends on the net fee relative to that of other exchanges. This result implies that traders do not fully adjust their quoted prices to offset the exchange's fees. In addition, we show that the allocation of the net fee to makers and takers has an effect on trading activity, specifically, an increase in the take fee decreases trading volume more than an increase in the make fee. We do not find an association between the fee structure and changes in quoted spreads.

Number of Pages in PDF File: 38

Keywords: make-and-take fee pricing model, make rebate fee, take access fee

JEL Classification: G1, G2

working papers series