On the occurrence and consequences of inaccurate trade classification

By Elizabeth R. Odders-White. 2000

275 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/74272fd2eeaed1a47d6420ea8260ae39eadf637f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

In Management Science and Operations Research

Citations in the corpus

Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, background): “Kaniel, Saar, and Titman (2008) use Audit Trail data and find that individual investor purchases (sales) precede positive (negative) movements in stock returns.”
An Empirical Analysis of Stock and Bond Market Liquidity (2005, methodology): “Yet, as shown in Lee and Radhakrishna (2000), and Odders-White (2000), the Lee/Ready algorithm is accurate enough as to not pose serious problems in our large sample study.”
The Accuracy of Trade Classification Rules: Evidence from NASDAQ (2000, methodology): “Using the same data source, but a different selection criterion, Odders-White (1999) reports a success rate of 85% for the Lee-Ready algorithm. In a recent paper, Finucane (2000) uses the TORQ database to test the accuracy of several classification algorithms (tick, quote and Lee-Ready).”
Issues in Assessing Trade Execution Costs (2003, unknown): “Finucane (2000), Odders-White (2000) and Lee and Radhakrishna (2000) all use the TORQ dataset, which provides trade, order, and quote data for a sample of 144 NYSElisted stocks during a three-month period in 1990 and 1991.”
Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2013, unknown): “33 Other studies of trade classification include Odders-White (2000) and Chakrabarty, Moulton, and Shkilko (2012).”
Individual investors and financial disclosure (2013, background): “Specific to this concern, Finucane (2000) and Odders-White (2000) find that trades in illiquid stocks and small trades tend to be more frequently misclassified, and Campbell et al. (2009) provide evidence suggesting that simple size cutoffs used in previous studies are inaccurate and can lead to…”
Cross-Listing, Price Discovery and the Informativeness of the Trading Process (2006, unknown): “Regarding the model specification tests, we follow the so-called Pantula (1989) principle (see also Harris, 1995).”
Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange (2001, unknown): “of Scharfstein and Stein (1990) and Hirshleifer, Subrahmanyam, and Titman (1994), and with models based on Kyle (1985), in which agents split orders over time to minimize their price impact.”