Institutional Trading and Abel Noser Data

62 Pages Posted: 26 Dec 2017 Last revised: 4 Sep 2018

See all articles by Gang Hu

Gang Hu

Hong Kong Polytechnic University - School of Accounting and Finance

Koren M. Jo

Hong Kong Polytechnic University - School of Accounting and Finance

Yi Alex Wang

Hong Kong Polytechnic University, School of Accounting and Finance

Jing Xie

Hong Kong Polytechnic University - School of Accounting and Finance

Date Written: August 8, 2018

Abstract

We survey the growing academic literature using Abel Noser data, including 55 publications thus far. We analyze publication patterns to explore how the availability of a specialized microstructure dataset propagates across different areas within finance and into other disciplines such as accounting. Of note, we identify corporate finance and accounting as the most under-researched areas that offer promising opportunities for future academic research using the data. To provide guidance for researchers interested in using Abel Noser data, we analyze institutional trading using transaction-level data spanning more than 12 years and covering 233 million transactions with $37 trillion traded. We provide background information on the origin and history of the data, offer suggestions for cleaning and using the data, and discuss (dis)advantages of Abel Noser compared to other data sources for institutional trading. We also document two simple facts: 1) institutional trade sizes decline dramatically over time, rendering trade size-based inferences of institutional trades problematic; 2) we estimate that Abel Noser data cover 12% of CRSP volume over our sample period and 15% for 1999-2005, significantly higher than the estimate in Puckett and Yan (2011) for 1999-2005: 8%, a widely quoted number in the literature. This background should prove useful for researchers seeking to address a number of as yet unexplored issues, especially in corporate finance and accounting research.

Keywords: Institutional Investor; Trading; Abel Noser; ANcerno; Accounting; Corporate Finance; Investments; Market Microstructure

JEL Classification: G12; G14; G23; M40

Suggested Citation

Hu, Gang and Jo, Koren M. and Wang, Yi and Xie, Jing, Institutional Trading and Abel Noser Data (August 8, 2018). Journal of Corporate Finance 52, 2018, 143-167.; Asian Finance Association (AsianFA) 2018 Conference. Available at SSRN: https://ssrn.com/abstract=3090150 or http://dx.doi.org/10.2139/ssrn.3090150

Gang Hu (Contact Author)

Hong Kong Polytechnic University - School of Accounting and Finance ( email )

M1038, Li Ka Shing Tower
Hung Hom, Kowloon
Hong Kong
(852) 3400 8455 (Phone)

HOME PAGE: http://ganghu.org

Koren M. Jo

Hong Kong Polytechnic University - School of Accounting and Finance ( email )

Hung Hom
Kowloon
Hong Kong

Yi Wang

Hong Kong Polytechnic University, School of Accounting and Finance ( email )

Hung Hom
Kowloon
Hong Kong

Jing Xie

Hong Kong Polytechnic University - School of Accounting and Finance ( email )

Hung Hom
Kowloon
Hong Kong

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