Caught on tape
institutional order flow and stock returns
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Author
Contributions
- Ramadorai, Tarun. - Contributor
- Vuolteenaho, Tuomo. - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2005 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
11,250 words, Guess
Page Count
45 pages
Identifiers
- OCLC Control Number61109949
- Open LibraryOL17626946M
Classifications
- LCCHB1
Description
"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.
Subjects
Series Statement
- NBER working paper series -- working paper 11439.
- Working paper series (National Bureau of Economic Research) -- working paper no. 11439.
Links
Other Editions
- Caught on tape
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