TY  - JOUR
AB  - © 2014 the American Finance Association. We investigate odd-lot trades in equity markets. Odd lots are increasingly used in algorithmic and high-frequency trading, but are not reported to the consolidated tape or in databases such as TAQ. In our sample, the median number of odd-lot trades is 24% but in some stocks odd lots are 60% or more of trading. Odd-lot trades contribute 35% of price discovery, consistent with informed traders using odd lots to avoid detection. Omitting odd-lot trades leads to inaccuracies in order imbalance measures and makes sentiment measures unreliable. Excluding odd lots from the consolidated tape raises important regulatory issues.
AU  - O'Hara, M
AU  - Yao, C
AU  - Ye, M
DA  - 2014/01/01
DO  - 10.1111/jofi.12185
EP  - 2236
JO  - Journal of Finance
PY  - 2014/01/01
SP  - 2199
TI  - What's not there: Odd lots and market data
VL  - 69
Y1  - 2014/01/01
Y2  - 2026/07/23
ER  -