TY  - JOUR
AU  - Campbell,John Y.
AU  - Ramadorai,Tarun
AU  - Vuolteenaho,Tuomo O.
TI  - Caught On Tape: Institutional Order Flow and Stock Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11439
PY  - 2005
Y2  - June 2005
UR  - http://www.nber.org/papers/w11439
L1  - http://www.nber.org/papers/w11439.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

Tarun Ramadorai
Said Business School
Park End St
Oxford OX1 1HP, United Kingdom
E-Mail: tarun.ramadorai@sbs.ox.ac.uk

Tuomo Vuolteenaho
Arrowstreet Capital
200 Clarendon Street #30
Boston, MA 02116-5021
Tel: 617/496-6284
Fax: 617/495-8570
E-Mail: tvuolteenaho@arrowstreetcapital.com
M2  - featured in NBER digest on 2005-06-27
AB  - 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.
ER  -