Publication Type
Working Paper
Version
publishedVersion
Publication Date
2-2020
Abstract
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, and a representative group of institutional investors’ transaction data. We find that the estimated institutional order imbalance has positive price impact in the short term, which reverses in the long term. The “smart” order flow from hedge funds generates greater and more persistent price impact than the “dumb” order flow from all the other institutions. We also find that hedge funds trade on well known anomalies around month ends while the other institutions do not.
Keywords
Institutional trading, Hedge funds, Trading behavior
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
First Page
1
Last Page
45
Identifier
10.2139/ssrn.2907612
Citation
HA, Jingi and Jianfeng HU.
How smart is institutional trading?. (2020). 1-45.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6591
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.2139/ssrn.2907612