What Does Equity Sector Orderflow Tell Us about the Economy?

We gratefully acknowledge the helpful comments from seminar participants at Arizona State University, Boston College, Central Bank of Canada, CSEF-Igier symposium, Southern Methodist University, Tilburg University, University of Texas, Vrije University of Amsterdam, Washington University in St. Louis, and at the American Finance Association meetings, the Citi Quant Conference, the European Finance Association meetings, and the NBER microstructure meeting. We have also benefited greatly from the comments of an anonymous referee, Darrell Duffie, Burton Hollifield, Soeren Hvidkjaer, Ralph Koijen, Mark Ready, Matt Spiegel, Shane Underwood and Luis Viceira. All remaining errors are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.