Table 4.

Depth surrounding the STOCK Act amendment

	Ln(Quoted Depth)		Ln(Ask Depth)		Ln(Bid Depth)
	[1]	[2]	[3]	[4]	[5]	[6]
After	− 0.011**	− 0.058***	− 0.005	− 0.035***	− 0.019***	− 0.072***
	(− 2.472)	(− 6.761)	(− 0.954)	(− 3.286)	(− 3.942)	(− 7.326)
Congress	1.539***		1.561***		1.634***
	(6.333)		(6.401)		(6.732)
After × Congress	− 0.178***	− 0.173***	− 0.187***	− 0.181***	− 0.168***	− 0.164***
	(− 7.761)	(− 7.959)	(− 7.859)	(− 7.918)	(− 7.068)	(− 7.397)
Ln(Price)		− 0.831***		− 0.674***		− 1.006***
		(− 7.389)		(− 5.486)		(− 9.461)
Ln(MCAP)		0.155***		0.138**		0.193***
		(2.775)		(2.265)		(3.445)
Ln(Turnover)		0.096***		0.099***		0.096***
		(32.295)		(29.755)		(30.019)
Constant	7.630***	10.976***	6.908***	9.743***	6.841***	10.770***
	(452.526)	(28.554)	(400.097)	(23.215)	(417.824)	(29.600)
Day FE	No	Yes	No	Yes	No	Yes
Stock FE	No	Yes	No	Yes	No	Yes
R2	0.011	0.052	0.011	0.035	0.013	0.038
N	221,265	221,265	221,265	221,265	221,265	221,265

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:

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

where the dependent variable is set to one of three depth measures: Ln(Quoted Depth), Ln(Ask Depth), or Ln(Bid Depth). Quoted Depth is the number of shares available at the NBBO at the time of the kth trade. Ask Depth is the number of shares available at the NBO at the time of the kth trade. Bid Depth is the number of shares available at the NBB at the time of the kth trade. 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