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

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.2139/ssrn.2907612

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