Classifying the direction of Robinhood’s fractional share trades

Jesse L. Glaze

Finance Research Letters, 2025, vol. 83, issue C

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.

Keywords: Microstructure; Fractional shares; Retail trading; Robinhood (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325009341

DOI: 10.1016/j.frl.2025.107675

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