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| Author: | Lee, C.M.C. Radhakrishna, B. |
| Title: | Inferring investor behavior: Evidence from TORQ data |
| Journal: | Journal of Financial Markets
2000 : MAY, VOL. 3:2, p. 83-111 |
| Index terms: | Stock markets Investors Models |
| Freeterms: | Trading |
| Language: | eng |
| Abstract: | In this paper, unique dataset (TORQ) to calibrate several techniques commonly used to infer investor behaviour from transactions data is used. Specifically, evaluated is the Journal of Finance 46, 733-746) algorithm for distinguishing trade direction. Examined is the use of trade size as a proxy for trader identity. It is found that, due to complexities in the NYSE auction process, up to 40 % of reported trades cannot be unambiguously classified as either buyer- or seller-initiated. However, the Lee-Ready algorithm is 93% accurate for those trades that can be classified. In addition, a firm-specific trade size proxy is constructed. |
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