Institutional Trading and Abel Noser Data

Topic:

Institutional Trading and Abel Noser Data

Time&Date: 

10:00-12:00pm, 2018/8/10

Venue:

Room A619, Teaching A

Speaker:

Prof. Gang Hu- Hong Kong Polytechnic University

We analyze institutional trading using transaction-level data provided by Abel Noser, spanning more than 12 years and covering233 million transactions with $37 trillion traded. We provide background information on the origin and history of Abel Noser data, offer suggestions for cleaning and using the data, and discuss (dis)advantages of Abel Noser compared to other data sources. We 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. We then survey the growing academic literature using Abel Noser data, including 55 publications to date. We analyzepublication patterns and show how the availability of a specialized microstructure dataset propagates across different areas within finance and into other disciplines such as accounting. Finally, we identify corporate finance and accounting as the most under-researched areas that offer promising opportunities for future academic research using Abel Noser data.