An Anatomy of Institutional Trading Records
26 Pages Posted: 11 Dec 2008
Date Written: December 11, 2008
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: Suggested Citation