| This paper introduces a new measure of institutional trading volume based on the SEC Rule 11Ac 1--5. I show that this new measure of institutional trading volume explains more variation in the quarterly changes of institutional ownership than previous dollar trade-size based measures. I then use the new measure in three applications to empirically examine the impact of institutional trading on stock price behavior. I focus on the relation between institutional trading and idiosyncratic stock volatility, effective spreads, asymmetric information risk and future stock returns. I find that institutional trading volume increases idiosyncratic stock volatility, decreases both effective spreads and asymmetric information component of the spreads. Finally, I show that abnormal institutional trading volume has predictive power for future stocks returns. |
