Odd-lots are trades for less than 100 shares of stock. These trades are missing from the TAQ data because they are not reported to the consolidated tape. We investigate the systematic bias that arises from the exclusion of odd lots from TAQ data. In our sample, the median number of missing...

We investigate the systematic bias that arises from the exclusion of trades for less than 100 shares from TAQ data. In our sample, we find that the median number of missing trades per stock is 19%, but for some stocks missing trades are as high as 66% of total transactions. Missing trades are...