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"Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the US, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the "tape", the Transactions and Quotes database of the New York Stock Exchange, using both a naive approach and a sophisticated method that best matches quarterly 13-F data. Increases in our measures of institutional flows negatively predict returns, particularly when institutions are selling. We interpret this as evidence that 13-F institutions compensate more patient investors for the service of providing liquidity. We also find that both very large and very small trades signal institutional activity, while medium size trades signal activity by the rest of the market"--National Bureau of Economic Research web site.
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Subjects
Econometric models, Institutional investments, New York Stock Exchange, Stock ownership, StocksPlaces
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Caught on tape: institutional order flow and stock returns
2005, National Bureau of Economic Research
in English
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Caught on tape: institutional order flow and stock returns
2005, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
"June 2005."
Includes bibliographical references (p. 32-37).
Also available in PDF from the NBER world wide web site (www.nber.org).
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- Created September 29, 2008
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December 15, 2009 | Edited by WorkBot | link works |
April 25, 2009 | Edited by ImportBot | add OCLC number |
September 29, 2008 | Created by ImportBot | Imported from Oregon Libraries MARC record |