Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the US, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from the...

Many questions about institutional trading can only be answered if one can track institutional equity ownership continuously. However, these data are only available on quarterly reporting dates. We infer institutional trading behavior from the "tape," the Transactions and Quotes database of the...