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How Smart Is Institutional Trading?, Jingi Ha, Jianfeng Hu
How Smart Is Institutional Trading?, Jingi Ha, Jianfeng Hu
Research Collection Lee Kong Chian School Of Business
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. …