Roseman, Brian
[Verfasser:in]
;
Van Ness, Bonnie F.
[Sonstige Person, Familie und Körperschaft];
Van Ness, Robert A.
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Quarterly Review of Economics and Finance, Vol. 69, 2018
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 23, 2016 erstellt
Beschreibung:
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