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Caught On Tape: Predicting Institutional Ownership With Order Flow

Author

Listed:
  • John Campbell

    (Harvard)

  • Tarun Ramadorai

    (Oxford)

  • Tuomo Vuolteenaho

    (Harvard)

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.

Suggested Citation

  • John Campbell & Tarun Ramadorai & Tuomo Vuolteenaho, 2004. "Caught On Tape: Predicting Institutional Ownership With Order Flow," Finance 0405012, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0405012
    Note: Type of Document - pdf; pages: 36
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Asani Sarkar & Robert A. Schwartz, 2007. "Market sidedness: insights into motives for trade initiation," Staff Reports 292, Federal Reserve Bank of New York.
    2. 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.
    3. 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.

    More about this item

    Keywords

    institutions; individuals; trading behavior; execution;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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