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Kupfer, Alexander; Schmidt, Markus G.
Journal of empirical finance, 06/2021, Volume: 62Journal Article
We study the effect of retail investor attention on odd lot trading. We observe that increases in abnormal Google search volume predict odd-lot trading. Importantly, this relationship is share price-sensitive: For stocks priced below $11, an increase in abnormal search volume leads to less odd lot trading. For stocks priced above $46, on the other hand, an increase in abnormal search volume leads to more odd lot trading. For a stock priced at $78 – the mean share price in our sample – a one standard deviation increase of abnormal search volume increases the average share of odd lot trading by 10 basis points. This effect is even stronger for more expensive stocks. Our results are consistent with attention-induced trading when investors face wealth constraints and are robust to alternative channels including news and institutional investor attention. •We examine the relationship between odd lot trading and retail investor attention.•We use Google search volume as a proxy for retail investor attention.•The relationship is share price-sensitive.•For high-priced stocks, an increase in search volume leads to more odd lot trades.•Accounting for retail investors is crucial when analyzing odd lot trades.
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