Tiny trades, big questions: Fractional shares

• 成果类型: Article
• 署名作者: Bartlett, Robert P.; Mccrary, Justin; O'Hara, Maureen
• 署名单位: Stanford University; Columbia University; Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103836
• 发表日期: 2024
• 关键词: Fractional shares; Retail trade; Robinhood trading; FINRA; Trade reporting

摘要

This paper investigates fractional share trading. We develop a latency -based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar -based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, suggesting a new metric to capture the information in retail trades. We identify how data and reporting protocols preclude knowing the extent of fractional share trading, inflate volume data, and provide censured samples of these off -exchange trades.