O'HARA, MAUREEN; YAO, CHEN; YE, MAO - In: Journal of Finance 69 (2014) 5, pp. 2199-2236
type="main" <title type="main">ABSTRACT</title> <p>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...</p>
