We study the quoting activity of market makers in relation to trading, liquidity, and expected returns. Empirically, we find larger quote-to-trade (QT) ratios in small, illiquid, or neglected firms, yet large QT ratios are associated with low expected returns. The last result is driven by quotes, not by trades. We propose a model of quoting activity consistent with these facts. In equilibrium, market makers monitor the market faster (and thus increase the QT ratio) in neglected, difficult-to-understand stocks. They also monitor faster when their clients are more precisely informed, which reduces mispricing and lowers expected returns.

中文翻译：

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报价活动和资本成本

我们研究做市商在交易、流动性和预期回报方面的报价活动。根据经验，我们发现小型、流动性差或被忽视的公司的报价与交易 (QT) 比率较大，但较大的 QT 比率与低预期回报相关。最后一个结果是由报价驱动的，而不是由交易驱动的。我们提出了一个与这些事实一致的报价活动模型。在均衡状态下，做市商会更快地监控被忽视、难以理解的股票的市场（从而提高 QT 比率）。当客户获得更准确的信息时，他们还会更快地进行监控，从而减少错误定价并降低预期回报。