EconPapers    
Economics at your fingertips  
 

Caught On Tape: Predicting Institutional Ownership With Order Flow

John Campbell (), Tarun Ramadorai () and Tuomo Vuolteenaho
Additional contact information
Tuomo Vuolteenaho: Harvard

Finance from University Library of Munich, Germany

Abstract: Many questions about institutional trading behavior can only be answered if one can track institutional equity ownership continuously, yet institutional ownership data are only available on quarterly reporting dates. We infer institutional trading behavior from the “tape”, the Transactions and Quotes database of the New York Stock Exchange, by regressing quarterly changes in reported institutional ownership on quarterly buy and sell volume in different trade size categories. We find that institutions in aggregate demand liquidity, in that total buy (sell) volume predicts increasing (decreasing) institutional ownership. Institutions also tend to trade in large or very small sizes, in that buy (sell) volume at these sizes predicts increasing (decreasing) institutional ownership, while the pattern reverses at intermediate trade sizes that are favored by individuals. Our regression method predicts institutional ownership significantly better than the simple cutoff rules used in previous research.

Keywords: institutions; individuals; trading behavior; execution (search for similar items in EconPapers)
JEL-codes: G10 G20 (search for similar items in EconPapers)
Date: 2004-05-06
Note: Type of Document - pdf; pages: 36
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0405/0405012.pdf (application/pdf)

Related works:
Working Paper: Caught on Tape: Predicting Institutional Ownership With Order Flow (2004) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0405012

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().

 
Page updated 2019-06-23
Handle: RePEc:wpa:wuwpfi:0405012