The Accuracy of Trade Classification Rules: Evidence from NASDAQ

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Corporate Governance and Institutional Ownership (2010, unknown): “, Falkenstein (1996), Huang (2009)) but avoid firms with greater return volatility (see, e.”
Trading activity, realized volatility and jumps (2010, unknown): “Among the trade variables, average trade size (ATS) 3Odders-White (2000) and Ellis, Michaely, and O’Hara (2000) document that the Lee and Ready algorithm correctly classifies more than 80% of the transactions in their respective samples and that trades executed inside the spread are more likely to…”
Is Information Risk a Determinant of Asset Returns (2002, result): “This latter finding, while inconsistent with standard asset-pricing theory, is consistent with the findings of Fama and French (1992), Chalmers and Kadlec (1998) and Datar, Naik and Radcliffe (1998) who investigate similar sample periods.”
Corporate Governance and Liquidity (2010, unknown): “We estimate Di,τ using the algorithm in Ellis, Michaely, and O’Hara (2000).”
Cross-Listing, Price Discovery and the Informativeness of the Trading Process (2006, unknown): “6 Ellis et al. (2000) and Odders-White (2000) have compared alternative classification rules.”