国际清算银行：速度溢价：高频交易和资本成本（英文版）

When trading in financial markets reaches light speed, does the real economy slow down? Using co-location and latency improvement upgrades at NASDAQ as natural experiments, we find that, on average, high frequency trading (HFT) leads to higher cost of capital. However, the impact is not uniform. HFT raises the cost of capital for low-beta stocks by amplifying their systematic risk, as HFT’s correlated trading strategies make these stocks more responsive to market-wide information. For the mos