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What’s Not There: The Odd-Lot Bias in TAQ Data
16 references·2 citing·46 second hop
What’s Not There: The Odd-Lot Bias in TAQ Data (2011)What’s Not There: The Odd-Lot Bias in TAQ…How Wise Are Crowds? Insights from Retail Orders and Stock Returns (2013)How Wise Are Crowds? Insights…Is market fragmentation harming market quality? (2011)Is market fragmentation harmi…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Are small investors naive about incentives? (2007)Are small investors naive abo…Price Informativeness and Investment Sensitivity to Stock Price (2006)Price Informativeness and Inv…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Order imbalance and individual stock returns: Theory and evidence (2003)Order imbalance and individua…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Econometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Stealth trading and volatility (1993)Stealth trading and volatilityStock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…A Random Walk Down Wall Street (1973)A Random Walk Down Wall StreetThe Impacts of Automation and High Frequency Trading on Market Quality (2012)The Impacts of Automation and…Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality (2011)Subsidizing Liquidity: The Im…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)Inferring Trade Direction from Intraday Data (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)High-Frequency Trading and Price Discovery (2014)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2001)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Trading and Arbitrage in Cryptocurrency Markets (2018)Financing Constraints and Corporate Investment (1988)The Cross-Section of Expected Stock Returns (1992)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The Information Role of Conservatism (2008)Intangible capital and the investment-q relation (2016)The impact of environmental, social, and governance disclosure on firm value: The role of CEO power (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Understanding commonality in liquidity around the world (2011)Short Selling and the Price Discovery Process (2012)Norm theory: Comparing reality to its alternatives. (1986)Investor Sentiment and the Closed‐End Fund Puzzle (1991)An Engine, Not a Camera (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)
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References

  • 2001Econometric Analysis of Cross Section and Panel Data27,575 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1973A Random Walk Down Wall Street1,743 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2006Price Informativeness and Investment Sensitivity to Stock Price1,492 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 1993Stealth trading and volatility948 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 2011Is market fragmentation harming market quality?578 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 2003Order imbalance and individual stock returns: Theory and evidence571 cited
  • 2007Are small investors naive about incentives?545 cited
  • 2013How Wise Are Crowds? Insights from Retail Orders and Stock Returns

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Cited by

  • 2011Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality34 cited
  • 2012The Impacts of Automation and High Frequency Trading on Market Quality28 cited