How smart is institutional trading?
We estimate daily aggregate order flow at the stock level from all institutional investors as well as for hedge funds and the other institutions separately. We achieve this by extrapolating the relation between quarterly institutional ownership in 13F filings, aggregate market order imbalance in TAQ,...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6591 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7590/viewcontent/Smart_Inst_Trading_2020_wp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |