Using a matched sample of separately managed accounts (SMAs) and mutual funds (MFs) with the same portfolio manager and investment style, we find that concurrently managed MFs consistently underperform their SMAs counterparts and generate more negative return gaps. Fund characteristics and...

I investigate the role odd lot trades play in equity markets, and how this role changes over four time periods: 2005, 2007, 2010, and 2012. In each of these years, I examine the determinants, price contribution, and characteristics of odd lot trading. I find that odd lot proportions are...

This study investigates odd lot trading, both odd lot trades and odd lot orders, around quarterly earnings announcements to determine whether or not odd lot traders are informed regarding the information contained in earnings announcements. We find that pre-announcement odd lot order imbalances...

This study investigates the degree to which orders are aggressively priced, paying particular attention to odd lot orders, and examines whether odd lot orders are being successfully used in stealth trading strategies. We find that odd lot orders execute at higher frequencies, which is due to odd...

U.S. exchanges, with the exception of the NYSE, report trades based on the size of resting order in the limit order book. Using ITCH data time stamped to the nanosecond, we show that this reporting convention often results in arriving marketable orders being reported as multiple trades of...

Using a version of the ITCH data set time stamped to the millisecond, O'Hara, Yao, and Ye (2014) find that odd lot trades are highly informed. However, NASDAQ reports trades based on the size of the resting limit order, creating a bias in the count of odd-lot trades. Using ITCH data from 2013,...

We study odd-lot trading and determine if an odd-lot trade results from odd-lot orders or if odd-lots are a result of orders broken into multiple trades. We confirm that odd-lot transactions contribute to price discovery. Our finding that odd-lot transactions contain substantial information is...

I investigate the role odd lot trades play in equity markets, and how this role changes over four periods: 2005, 2007, 2010, and 2012. In each of these years, I examine the determinants, price contribution, and characteristics of odd lot trading. I find that odd lot proportions are increasing,...