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What’s Not There: The Odd-Lot Bias in TAQ Data · Study

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PreprintWhat’s Not There: The Odd-Lot Bias in TAQ Data

Maureen O’Hara2011

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Preprintgreen2011

What’s Not There: The Odd-Lot Bias in TAQ Data

Maureen O’Hara · Chen Yao

42 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2001Econometric Analysis of Cross Section and Panel Data 2002Is Information Risk a Determinant of Asset Returns?1973A Random Walk Down Wall Street 2011Does Algorithmic Trading Improve Liquidity?1996Liquidity, Information, and Infrequently Traded Stocks 2006Price Informativeness and Investment Sensitivity to Stock Price 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk 1993Stealth trading and volatility

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2011Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality 2012The Impacts of Automation and High Frequency Trading on Market Quality

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2014What's Not There: Odd Lots and Market Dataarticle · 16 shared references 2017An Empirical Analysis of Market Segmentation on U.S. Equity Marketsarticle · 8 shared references 2017Are all odd-lots the same? Odd-lot transactions by order submission and trader typearticle · 8 shared references 2014The Empirical Analysis of Liquidityarticle · 6 shared references 2007Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcementspreprint · 6 shared references 2021Does vega-neutral options trading contain information?article · 6 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations42

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1892972

openalex_workW1519431899

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