Using a matched sample of separately managed accounts (SMAs) and mutual funds (MFs) with the same portfolio manager and investment style, we find that concurrently managed MFs consistently underperform their SMAs counterparts and generate more negative return gaps. Fund characteristics and...

Using a version of the ITCH data set time stamped to the millisecond, O'Hara, Yao, and Ye (2014) find that odd lot trades are highly informed. However, NASDAQ reports trades based on the size of the resting limit order, creating a bias in the count of odd-lot trades. Using ITCH data from 2013,...