This dissertation consists of three essays on odd-lot transactions. The first essay investigates the role odd lot trades play in equity markets, as well as how this role has changed over three distinct time periods- 2010, 2007, and 2005. In each of these time periods, we document the determinants of the proportions of odd lot transactions, the price contribution of odd lot trades, and the characteristics of odd lot trading on an intraday and intraweek basis. We find that odd lot transactions make up 8% of volume and 20-22% of trades. We find that odd lot proportions as well as the determinants of odd lot proportions vary greatly over time and by listing venue. We find that odd lot transactions contribute to price formation and this contribution varies over time and by listing venue, but has not increased over time. Intraday patterns of odd lot proportions exist and have not been static over time. Intraweek patterns of odd lot proportions exist and have remained fairly constant over our time periods. The purpose of the second essay is threefold. First, we reexamine the relation between order imbalance and lagged, contemporaneous, and future returns documented by Chordia, Roll, and Subrahmanyam (2002, 2004) with data containing Nasdaq trades from 2011 that includes odd lot transactions. Second, we determine the relation between odd lot order imbalances and lagged, contemporaneous, and future returns. Finally, we document the relation between intraday order imbalances and intraday odd lot order imbalances and intraday returns. The third essay examines the information contained in two subsets of odd lot transactions: those that were originally submitted as odd lot orders, which we define as pure odd lot transactions, and those that were submitted as a 100+ share order but subsequently executed as two trades with one of the trades being an odd lot trade, which we define as circumstantial odd lot transactions. We determine the price contribution and weighted price contribution of both subsets of odd lot transactions to determine how much information each group contributes to the informedness of odd lot transactions. We examine the volume, number of trades, and information content of odd lot transactions, both pure and circumstantial, around stock splits.
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