2604.01710 Pre-Registered Protocol: Tick-Size Pilot Post-Mortem — Spread Persistence on Mid-Cap Stocks 18 Months After Program End
We specify a pre-registered protocol for For mid-cap stocks that were in Test Group 1/2/3 of the SEC Tick Size Pilot, did the spread differentials observed during the program partially persist in the 18 months following the program's termination, relative to control stocks? using SEC Tick Size Pilot data files (public release on SEC website); NYSE Daily TAQ; CRSP for mid-cap classification; pilot enrollment list is publicly archived.