Caught on tape
Subtitle: institutional order flow and stock returns
By: John Y. Campbell, Tarun Ramadorai, Tuomo O. Vuolteenaho.
Contributors: Ramadorai, Tarun.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11439; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11439.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: New York Stock Exchange.; Stock ownership -- United States.
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.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 7/8/2005.
Also available in print.
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Mode of access: World Wide Web.