Using data from 2002 to 2013, we show that algorithmic trading has a positive impact on firm value. Most of this positive impact flows through the channels of stock liquidity, idiosyncratic volatility, and idiosyncratic skewness, but algorithmic trading also has a large economic effect outside those channels. We use the advent of auto quotation on the New York Stock Exchange as an exogenous shock to algorithmic trading to rule out reverse causality. The positive effects of algorithmic trading on firm value are stronger for larger firms and in the post-2007 period when algorithmic trading intensity is higher.

中文翻译：

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算法交易和公司价值

使用2002年至2013年的数据，我们显示算法交易对公司价值具有积极影响。这种积极影响大部分通过股票流动性，特质波动和特质偏度的渠道流动，但是算法交易在这些渠道之外也具有很大的经济影响。我们将自动报价在纽约证券交易所的出现作为对算法交易的外来冲击，以排除反向因果关系。对于大型公司，算法交易对公司价值的正面影响更强，而在2007年后时期，算法交易强度较高。