| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11439 |
| 来源ID | Working Paper 11439 |
| Caught On Tape: Institutional Order Flow and Stock Returns | |
| John Y. Campbell; Tarun Ramadorai; Tuomo O. Vuolteenaho | |
| 发表日期 | 2005-06-27 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 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 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. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11439 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569082 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Tarun Ramadorai,Tuomo O. Vuolteenaho. Caught On Tape: Institutional Order Flow and Stock Returns. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11439.pdf（622KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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