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Caught On Tape: Institutional Order Flow and Stock Returns / John Y. Campbell, Tarun Ramadorai, Tuomo O. Vuolteenaho.
- Format:
- Book
- Author/Creator:
- Campbell, John Y.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w11439.
- NBER working paper series no. w11439
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- 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.
- Notes:
- Print version record
- June 2005.
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