Classifying the direction of Robinhood’s fractional share trades

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-04 DOI:10.1016/j.frl.2025.107675

Jesse L. Glaze

引用次数: 0

Abstract

I develop a novel method to sign Robinhood's fractional trades in the NYSE Daily Trade and Quote (TAQ) database. This method extends the findings of Bartlett et al. (2024) who identify Robinhood’s fractional trades in TAQ but do not sign the trades since they are executed at the National Best Bid and Offer (NBBO) midpoint. To sign the trades, I first match the fractional share trade to the corresponding whole-share trade originating from the same dollar-based order, then sign the corresponding whole-share trade using accepted retail order signing algorithms. To validate the trades’ signs, I document a significant increase in buy trades from Robinhood users immediately following stimulus check direct deposits in March 2021. This methodology significantly improves upon the state-of-the-art dataset on Robinhood user holdings which is no longer in service. The resulting data will be useful for researchers studying Robinhood or mobile investors, their actions, and their growing impacts on modern capital markets.

查看原文本刊更多论文

罗宾汉分股交易方向的分类

我开发了一种新颖的方法来签署罗宾汉在纽约证券交易所每日交易和报价（TAQ）数据库中的分数交易。该方法扩展了Bartlett等人（2024）的发现，他们确定了罗宾汉在TAQ中的分数交易，但没有签署交易，因为它们是在全国最佳出价和报价（NBBO）中点执行的。为了签署交易，我首先将小额股票交易与来自同一美元订单的相应整股交易匹配起来，然后使用可接受的零售订单签署算法签署相应的整股交易。为了验证交易的迹象，我记录了2021年3月刺激支票直接存款后罗宾汉用户的买入交易大幅增加。这种方法大大改进了罗宾汉用户持有的最新数据集，该数据集已不再使用。所得数据将对研究罗宾汉或流动投资者、他们的行为以及他们对现代资本市场日益增长的影响的研究人员有用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance