An SEC staff working paper exploits the November 2025 rule change that cut the round lot from 100 shares to 40 for stocks priced from above $250 through $1,000. The headline improvement in quoted spreads is partly mechanical: requiring less displayed depth changes the quote used to form the NBBO. Using depth-of-book data to hold the measured quantity constant, the authors still find real benefits concentrated in less-liquid stocks and off-exchange trades.
The wrinkle is more useful than the average effect. Liquidity moved toward the top of the book: costs improved for smaller quantities but worsened beyond roughly 800 shares; average trade size fell about 17%, and volume in less-liquid names fell about 13%. For execution analysis, “the spread narrowed” is therefore incomplete. The relevant object is the cost curve by size, not one national-best snapshot. SEC working paper, Oct. 14