Table 3.

Transactions costs surrounding the STOCK Act amendment

	Ln($ Effective Spread)		Ln(% Effective Spread)
	[1]	[2]	[3]	[4]
After	0.010***	− 0.019***	0.006*	− 0.020***
	(3.009)	(− 2.859)	(1.658)	(− 3.026)
Congress	− 0.896***		− 1.781***
	(− 10.015)		(− 21.482)
After × Congress	0.043***	0.039***	0.031***	0.039***
	(4.984)	(4.416)	(3.069)	(4.320)
Ln(Price)		0.719***		− 0.270***
		(15.795)		(− 5.919)
Ln(MCAP)		− 0.141***		− 0.132***
		(− 4.732)		(− 4.332)
Ln(Turnover)		− 0.052***		− 0.054***
		(− 21.063)		(− 24.046)
Constant	− 3.484***	− 6.160***	− 6.669***	− 6.198***
	(− 259.174)	(− 38.997)	(− 430.243)	(− 39.096)
Day FE	No	Yes	No	Yes
Stock FE	No	Yes	No	Yes
R2	0.006	0.033	0.020	0.037
N	221,253	221,253	221,251	221,251

The table reports the results from estimating the following equation using pooled stock-day observations for the 41 days surrounding the STOCK Act Amendment on April 15, 2013:

$Ln({\mathit{TransactionsCosts}}_{i,t})=\alpha +{\delta }_t+{\gamma }_i+{\beta }_1{\mathit{After}}_t+{\beta }_2{\mathit{Congress}}_i+{\beta }_3{\mathit{After}}_t\times {\mathit{Congress}}_i+{\beta }_{4}Ln\left({\mathit{Price}}_{i,t}\right)+{\beta }_{5}Ln\left({\mathit{MCAP}}_{i,t}\right)+{\beta }_{6}Ln\left(T,u,r,n,o,v,e,r\right)+{\epsilon }_{i,t},$

where the dependent variable is set to one of two trading cost measures: Ln($ Effective Spread) or Ln(% Effective Spread). $ Effective Spread on the kth trade is defined as: $2D_k\left(P_k,-,M_k\right),$ where $D_k$ is an indicator variable that equals + 1 if the kth trade is a buy and − 1 if the kth trade is a sell (according to Lee and Ready 1991), $P_k$ is the price of the kth trade, and $M_k$ is the midpoint of the NBBO quotes assigned to the kth trade. % Effective Spread is the dollar effective spread scaled by the NBBO midpoint. After is an indicator variable equal to one if the stock/day observation takes place after April 15, 2013, and zero otherwise. Congress equals unity if the stock is one of the 49 securities held most by Congress (see Table 1) and zero for all other CRSP securities. We include the following control variables: Ln(Price) is the natural log of the average daily closing price. Ln(MCAP) is the natural log of market capitalization, or price times shares outstanding. Ln(Turnover) is the natural log of the daily number of shares traded over shares outstanding. We also include day fixed effects (${\delta }_t$) and stock fixed effects (${\gamma }_i$). T-statistics are reported in parentheses obtained from robust standard errors clustered at the stock level

*, **, *** denote statistical significance at the 0.01, 0.05, and 0.10 levels, respectively.