  We demonstrate that the lowest possible price change (tick-size) has a large
impact on the structure of financial return distributions. It induces a
microstructure as well as it can alter the tail behavior. On small return
intervals, the tick-size can distort the calculation of correlations. This
especially occurs on small return intervals and thus contributes to the decay
of the correlation coefficient towards smaller return intervals (Epps effect).
We study this behavior within a model and identify the effect in market data.
Furthermore, we present a method to compensate this purely statistical error.
