Abstract

http://ssrn.com/abstract=2149302
 
 

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


Laura Cardella


Texas Tech University

Jia Hao


University of Michigan at Ann Arbor - Ross School of Business

Ivalina Kalcheva


University of California, Riverside (UCR) - Department of Finance and Management Science

April 29, 2013


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





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Date posted: September 20, 2012 ; Last revised: April 29, 2013

Suggested Citation

Cardella, Laura and Hao, Jia and Kalcheva, Ivalina, Make and Take Fees in the U.S. Equity Market (April 29, 2013). Available at SSRN: http://ssrn.com/abstract=2149302 or http://dx.doi.org/10.2139/ssrn.2149302

Contact Information

Laura Cardella
Texas Tech University ( email )
Lubbock, TX 79409
United States
Jia Hao
University of Michigan at Ann Arbor - Ross School of Business ( email )
701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-647-1690 (Phone)
Ivalina Kalcheva (Contact Author)
University of California, Riverside (UCR) - Department of Finance and Management Science ( email )
900 University Avenue
Riverside, CA 92521
United States
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