... n15See, for example, Greenspan, 1999, and \Finance and Economics: Alan Greenspan's miracle cure,"Economist, October 24, 1998, pp.75-76. and \A Review of Financial Market Events in Autumn ... ournal of F inancial and Quantitative Analysis. B a r b e r is , N ., 2 0 0 0 , In ve s t in g fo r t h e lo n g r u n wh e n r e t u r n s a r e p r e d ic t a b le , J ournal of F inance 5 ... tick size change from 1/8to 1/16 was introduced on June 14, 1997, because this e®ect had an immediate and permanent impacton the stock market spread (see Chordia, Roll, and Subrahmanyam, 2001).1...