Caught On Tape: Predicting Institutional Ownership With Order Flow
AbstractMany 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0405012.
Length: 36 pages
Date of creation: 06 May 2004
Date of revision:
Note: Type of Document - pdf; pages: 36
Contact details of provider:
Web page: http://184.108.40.206
institutions; individuals; trading behavior; execution;
Other versions of this item:
- John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2004. "Caught on Tape: Predicting Institutional Ownership With Order Flow," Harvard Institute of Economic Research Working Papers 2046, Harvard - Institute of Economic Research.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-09 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002.
"Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions,"
NBER Working Papers
8793, National Bureau of Economic Research, Inc.
- Cohen, Randolph B. & Gompers, Paul A. & Vuolteenaho, Tuomo, 2002. "Who underreacts to cash-flow news? evidence from trading between individuals and institutions," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 409-462.
- Easley, David & O'Hara, Maureen & Saar, Gideon, 2001. "How Stock Splits Affect Trading: A Microstructure Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(01), pages 25-51, March.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
- Paul A. Gompers & Andrew Metrick, .
"Institutional Investors and Equity Prices,"
Rodney L. White Center for Financial Research Working Papers
20-99, Wharton School Rodney L. White Center for Financial Research.
- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002.
"Breadth of ownership and stock returns,"
Journal of Financial Economics,
Elsevier, vol. 66(2-3), pages 171-205.
- Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
- Lee, Charles M. C. & Radhakrishna, Balkrishna, 2000. "Inferring investor behavior: Evidence from TORQ data," Journal of Financial Markets, Elsevier, vol. 3(2), pages 83-111, May.
- Mark Grinblatt, 2001.
"What Makes Investors Trade?,"
Journal of Finance,
American Finance Association, vol. 56(2), pages 589-616, 04.
- Chakravarty, Sugato, 2001.
"Stealth-trading: Which traders' trades move stock prices?,"
Journal of Financial Economics,
Elsevier, vol. 61(2), pages 289-307, August.
- Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, EconWPA.
- Grinblatt, Mark & Keloharju, Matti, 2000. "The investment behavior and performance of various investor types: a study of Finland's unique data set," Journal of Financial Economics, Elsevier, vol. 55(1), pages 43-67, January.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
- Ellis, Katrina & Michaely, Roni & O'Hara, Maureen, 2000. "The Accuracy of Trade Classification Rules: Evidence from Nasdaq," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 529-551, December.
- Daniel, Kent, et al, 1997. " Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-58, July.
- Tuomo Vuolteenaho, 2002. "What Drives Firm-Level Stock Returns?," Journal of Finance, American Finance Association, vol. 57(1), pages 233-264, 02.
- Finucane, Thomas J., 2000. "A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 553-576, December.
- Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, 04.
- Ascioglu, Asli & Comerton-Forde, Carole & McInish, Thomas H., 2011. "Stealth trading: The case of the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 194-207, April.
- Asani Sarkar & Robert A. Schwartz, 2007. "Market sidedness: insights into motives for trade initiation," Staff Reports 292, Federal Reserve Bank of New York.
- Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.