This paper previously circulated under the title “Tick Size Change and Market Quality in the U.S. Treasury Market.” The authors thank Bruno Biais and Haoxiang Zhu (the editors), an anonymous associate editor, and two anonymous referees for their detailed comments that greatly improved the paper, David Gempesaw and Claire Nelson for excellent research assistance, and Sabrina Buti (discussant), Dobrislav Dobrev, Davide Tomio (discussant), Clara Vega, Julie Wu, and audience members at Penn State University, the 2019 Annual Women In Microstructure meeting, and the 4th Sustainable Architecture for Finance in Europe Market Microstructure conference for helpful comments. Views expressed are those of the authors and not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve System.
