Trading Costs and Informational Efficiency

We would like to thank comments from Fernando Álvarez, Snehal Banerjee, Gadi Barlevy, Bruno Biais, Philip Bond, Markus Brunnermeier, Eric Budish, James Dow, Emmanuel Farhi, Simon Gervais, Piero Gottardi, Joel Hasbrouck, Arvind Krishnamurthy, Stephen Morris, Thomas Philippon, Adriano Rampini, Tom Sargent, Alp Simsek, Laura Veldkamp, Venky Venkateswaran, Xavier Vives, Brian Weller, Wei Xiong, and Jeff Zwiebel, as well as our discussants Kerry Back, Bradyn Breon-Drish, Liyan Yang, and Haoxiang Zhu. We would also like to thank seminar participants at NYU, 2016 London FTG Summer Conference, SED, MIT, UCSB LAEF Conference, 2017 AFA, Duke, ASU-Sonoran Winter Conference, Princeton, Stanford, Macro-Finance Society, and FIRS. Yangjue Han, Luke Min, Josh Mohanty, and Ryungha Oh provided excellent research assistance. Financial support from the CGEB at NYU Stern is gratefully acknowledged. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.