An Anatomy of Institutional Trading Records

26 Pages Posted: 11 Dec 2008

See all articles by Jan Annaert

Jan Annaert

University of Antwerp Department of Accounting & Finance; University of Antwerp - Antwerp Management School

Dries Heyman

Ghent University - Department of Financial Economics

Sofie Van Osselaer

Ghent University, Department of Financial Economics

Date Written: December 11, 2008

Abstract

This paper explores a unique data set comprising the transactions executed by a large sample of mutual funds for the period August 2002 - April 2007. This data set qualifies as a worthy counterpart for another (often used) transactional data set provided by the Plexus Group. It will serve as input for various papers, but is interesting in its own right. We discuss the structure of the data set, we enumerate the major asset classes traded by the institutionals and we describe the global representation of the traded securities. Finally, we detail the filtering procedures necessary to obtain a sample of equity transactions executed by actively managed mutual funds.

Keywords: Mutual Funds, Transactions, Description

JEL Classification: G11, G23

Suggested Citation

Annaert, Jan and Heyman, Dries and Van Osselaer, Sofie, An Anatomy of Institutional Trading Records (December 11, 2008). Available at SSRN: https://ssrn.com/abstract=1314689 or http://dx.doi.org/10.2139/ssrn.1314689

Jan Annaert

University of Antwerp Department of Accounting & Finance ( email )

Faculty of Applied Economics
Prinsstraat 13
Antwerp, B-2000
Belgium

HOME PAGE: http://https://www.uantwerp.be/en/staff/jan-annaert/

University of Antwerp - Antwerp Management School ( email )

Boogkeers 5
Antwerp, 2000
Belgium

Dries Heyman (Contact Author)

Ghent University - Department of Financial Economics ( email )

Ghent, 9000
Belgium
0032 (0)9 2645307 (Phone)
(0)9 2643577 (Fax)

Sofie Van Osselaer

Ghent University, Department of Financial Economics ( email )

W.Wilsonplein 5D
Gent, 9000
Belgium

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