期刊名称：HIER Discussion Paper Series / Harvard Institute of Economic Research
出版年度：2005
卷号：2005
出版社：Harvard Institute of Economic Research
摘要：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 institu- tional 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.
Loading...
