What's not there: Odd lots and market data

Maureen O'Hara, Chen Yao, Mao Ye

Research output: Contribution to journalArticlepeer-review


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 odd lots are 60% or more of trading. Odd-lot trades contribute 35% of price discovery, consistent with informed traders using odd lots to avoid detection. Omitting odd-lot trades leads to inaccuracies in order imbalance measures and makes sentiment measures unreliable. Excluding odd lots from the consolidated tape raises important regulatory issues.

Original languageEnglish (US)
Pages (from-to)2199-2236
Number of pages38
JournalJournal of Finance
Issue number5
StatePublished - 2014

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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