To See is To Know: Efficient Display of Market Data for Retail Investors

I test whether the display format of market data affects the trading performance of retail investors. To do so, I exploit a large brokerage dataset covering a period during which the market information provided to the broker customers changed in format, but not in content. I find that a more efficient information display allows investors to increase returns on their limit orders, because it becomes easier for them to mitigate the risk of adverse selection when trading with those orders. Hence, the display format of market data matters for the individual investor.