Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7383246 | The Quarterly Review of Economics and Finance | 2018 | 29 Pages |
Abstract
We study odd-lot trades in U.S. Equities. NYSE- and NASDAQ-listed securities trade and report on various markets, and in this paper, we examine odd-lot activity in these venues. We also look at odd-lot trading on December 9, 2013, when odd-lot trades began reporting to the consolidated public tapes. We find a small increase in odd-lot trading occurring after odd-lot trades are reported to the consolidated tape, which is inconsistent with the belief that some odd-lot trades are larger trades broken up to avoid reporting to the consolidated tape. Odd-lot trades have disproportionately high cumulative price changes relative to the level of odd-lot trading. We also find a positive relation between odd-lot order imbalance and returns.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Brian S. Roseman, Bonnie F. Van Ness, Robert A. Van Ness,