eprintid: 10150091 rev_number: 10 eprint_status: archive userid: 699 dir: disk0/10/15/00/91 datestamp: 2022-06-14 12:02:52 lastmod: 2023-11-29 11:14:00 status_changed: 2022-06-14 12:02:52 type: article metadata_visibility: show sword_depositor: 699 creators_name: Guarino, Antonio creators_name: Cipriani, Marco creators_name: Uthemann, Andreas title: Financial transaction taxes and the informational efficiency of financial markets: A structural estimation ispublished: pub divisions: C03 divisions: F24 divisions: B03 divisions: UCL keywords: Financial Transaction Tax, Market Microstructure, Structural Estimation note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. abstract: We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of 60 NYSE stocks in 2017. We quantify the effect of introducing an FTT given the parameter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. For some less liquid stocks, however, an FTT blocks private information aggregation. date: 2022-12 date_type: published publisher: Elsevier official_url: https://doi.org/10.1016/j.jfineco.2022.04.007 oa_status: green full_text_type: other language: eng primo: open primo_central: open_green verified: verified_manual elements_id: 1953799 doi: 10.1016/j.jfineco.2022.04.007 lyricists_name: Guarino, Antonio lyricists_id: AGUAR93 actors_name: Guarino, Antonio actors_id: AGUAR93 actors_role: owner full_text_status: public publication: Journal of Financial Economics volume: 146 number: 3 pagerange: 1044-1072 citation: Guarino, Antonio; Cipriani, Marco; Uthemann, Andreas; (2022) Financial transaction taxes and the informational efficiency of financial markets: A structural estimation. Journal of Financial Economics , 146 (3) pp. 1044-1072. 10.1016/j.jfineco.2022.04.007 <https://doi.org/10.1016/j.jfineco.2022.04.007>. Green open access document_url: https://discovery.ucl.ac.uk/id/eprint/10150091/1/FTT_JFE_final.pdf