Abel Noser (ANcerno) Data Page
Created and maintained by Gang Hu
The goal of this webpage is to centralize and provide useful information for academic researchers, who are (or thinking about) using Abel Noser (also known as ANcerno) institutional trading data to conduct academic research.
Institutional Trading and Abel Noser Data,
Journal of Corporate Finance 52, 2018, 143-167.
- The Abel Noser "Data Paper" with comprehensive information about the dataset and new results.
- For the common confusion between Abel Noser vs. ANcerno, see the 2nd paragraph on page 4.
- For discussions of various data issues, see Section 3.1 on page 13.
Based on our analysis of publication patterns using Abel Noser data (Section 4 on page 24), we conclude:
- The strong publication trend will continue in Finance.
- Corporate Finance is the most under-researched area within Finance.
- Accounting is the future frontier for Abel Noser data.
Below is an updated "master list" of ALL academic publications using Abel Noser (ANcerno) data. For working papers, go to the bottom of this page. If I missed your paper, SORRY! I really tried my best to conduct an exhaustive search. Please E-mail me your paper: firstname.lastname@example.org.
57 (and counting) Publications using Abel Noser Data
(ordered by publication year, alphabetical order within the year)
1. Blume, Marshall E., 1993, Soft dollars and the brokerage industry, Financial Analysts Journal 49, 36-44.
Hu, Gang, 2005, Essays in corporate finance and institutional trading, Ph.D. Dissertation, Boston College.
- All 3 Chapters of Gang Hu's dissertation use Abel Noser data, and were the basis for Publications 2, 6, and 9 below.
2. Hu, Gang, J. Ginger Meng, and Mark Potter, 2008, Opinion divergence among professional investment managers, Journal of Business Finance and Accounting 35, 679-703.
3. Bethel, Jennifer, Gang Hu, and Qinghai Wang, 2009, The market for shareholder voting rights around mergers and acquisitions: Evidence from institutional daily trading and voting, Journal of Corporate Finance 15, 2009, 129-145.
4. Chemmanur, Thomas, Shan He, and Gang Hu, 2009, The role of institutional investors in seasoned equity offerings, Journal of Financial Economics 94, 2009, 384-411.
5. Goldstein, Michael A., Paul Irvine, Eugene Kandel, and Zvi Wiener, 2009, Brokerage commissions and institutional trading patterns, Review of Financial Studies 22, 5175-5212.
6. Hu, Gang, 2009, Measures of implicit trading costs and buy-sell asymmetry, Journal of Financial Markets 12, 418-437.
7. Pagano, Michael S., 2009, International market structure: Global problems and micro solutions, International Journal of Managerial Finance 5, 5-15.
8. Pagano, Michael S., 2009, Which factors influence trading costs in global equity markets?, Journal of Trading 4, 7-15.
9. Chemmanur, Thomas, Gang Hu, and Jiekun Huang, 2010, The role of institutional investors in initial public offerings, Review of Financial Studies 23, 4496-4540.
10. Goldstein, Michael A., Paul Irvine, and Andy Puckett, 2011, Purchasing IPOs with commissions, Journal of Financial and Quantitative Analysis 46, 1193-1225.
11. Green, T. Clifton, and Russell Jame, 2011, Strategic trading by index funds and liquidity provision around S&P 500 index additions, Journal of Financial Markets 14, 605-624.
12. Puckett, Andy, and Xuemin Sterling Yan, 2011, The interim trading skills of institutional investors, Journal of Finance 66, 601-633.
13. Anand, Amber, Paul Irvine, Andy Puckett, and Kumar Venkataraman, 2012, Performance of institutional trading desks: An analysis of persistence in trading costs, Review of Financial Studies 25, 557-598.
14. Busse, Jeffrey A., T. Clifton Green, and Narasimhan Jegadeesh, 2012, Buy-side trades and sell-side recommendations: Interactions and information content, Journal of Financial Markets 15, 207-232.
15. Choi, Nicole Y., and Richard W. Sias, 2012, Why does financial strength forecast stock returns? Evidence from subsequent demand by institutional investors, Review of Financial Studies 25, 1550-1587.
16. Edelen, Roger M., and Gregory B. Kadlec, 2012, Delegated trading and the speed of adjustment in security prices, Journal of Financial Economics 103, 294-307.
17. Anand, Amber, Paul Irvine, Andy Puckett, and Kumar Venkataraman, 2013, Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis, Journal of Financial Economics 108, 773-797.
18. Feinstein, Steven, Gang Hu, Mark Marcus, and Zann Ali, 2013, Underestimation of Securities Fraud Aggregate Damages Due to Inter-Fund Trades, Journal of Forensic Economics 24, 161-173.
19. Jain, Pankaj, and Qin Wang, 2013, Credit rating changes and institutional trading, Journal of Trading 8, 38-47.
20. Kuvvet, Emre, 2013, The impact of political uncertainty and abnormal market conditions on institutional trading behavior, Journal of Trading 8, 15-22.
21. Agarwal, Vikas, Gerald D. Gay, and Leng Ling, 2014, Window dressing in mutual funds, Review of Financial Studies 27, 3133-3170.
22. Brogaard, Jonathan, Terrence Hendershott, Stefan Hunt, and Carla Ysusi, 2014, High frequency trading and the execution costs of institutional investors, Financial Review 49, 345-369.
23. Brown, Nerissa C., Kelsey D. Wei, and Russ Wermers, 2014, Analyst recommendations, mutual fund herding, and overreaction in stock prices, Management Science 60, 1-20.
24. Cready, William, Abdullah Kumas, and Musa Subasi, 2014, Are trade size based inferences about traders reliable? Evidence from institutional earnings related trading, Journal of Accounting Research 52, 877-909.
25. Fang, Lily H., Joel Peress, and Lu Zheng, 2014, Does media coverage of stocks affect mutual funds’ trading and performance?, Review of Financial Studies 27, 3441-3466.
26. Goetzmann, William N., Dasol Kim, Alok Kumar, and Qin Wang, 2014, Weather-induced mood, institutional investors, and stock returns, Review of Financial Studies 28, 73-111.
27. Green, T. Clifton, Russell Jame, Stanimir Markov, and Musa Subasi, 2014, Broker-hosted investor conferences, Journal of Accounting and Economics 58, 142-166.
28. Hu, Gang, R. David McLean, Jeffrey Pontiff, and Qinghai Wang, 2014, The year-end trading activities of institutional investors: Evidence from daily trades, Review of Financial Studies 27, 1593-1614.
29. Lynch, Andrew, Andy Puckett, and Xuemin Sterling Yan, 2014, Institutions and the turn-of-the-year effect: Evidence from actual institutional trades, Journal of Banking and Finance 49, 56-68.
30. Ahern, Kenneth R., and Denis Sosyura, 2015, Rumor has it: Sensationalism in financial media, Review of Financial Studies 28, 2050-2093.
31. Angel, James J., Lawrence E. Harris, and Chester S. Spatt, 2015, Equity trading in the 21st century: An update, Quarterly Journal of Finance 5, 1-39.
32. Bernile, Gennaro, Johan Sulaeman, and Qin Wang, 2015, Institutional trading during a wave of corporate scandals: "Perfect Payday"?, Journal of Corporate Finance 34, 191-209.
33. Chemmanur, Thomas J., Gang Hu, and Jiekun Huang, 2015, Institutional investors and the information production theory of stock splits, Journal of Financial and Quantitative Analysis 50, 413-445.
34. Hameed, Allaudeen, Randall Morck, Jianfeng Shen, and Bernard Yeung, 2015, Information, analysts, and stock return comovement, Review of Financial Studies 28, 3153-3187.
35. Zarinelli, Elia, Michele Treccani, J. Doyne Farmer, and Fabrizio Lillo, 2015, Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate, Market Microstructure and Liquidity 1, 1550004.
36. Akbas, Ferhat, Felix Meschke, and M. Babajide Wintoki, 2016, Director networks and informed traders, Journal of Accounting and Economics 62, 1-23.
37. Chemmanur, Thomas J., and Shan He, 2016, Institutional trading, information production, and corporate spin-offs, Journal of Corporate Finance 38, 54-76.
38. Ljungqvist, Alexander, and Wenlan Qian, 2016, How constraining are limits to arbitrage?, Review of Financial Studies 29, 1975-2028.
39. Ben-Rephael, Azi, 2017, Flight-to-liquidity, market uncertainty, and the actions of mutual fund investors, Journal of Financial Intermediation 31, 30-44
40. Ben-Rephael, Azi, Zhi Da, and Ryan D. Israelsen, 2017, It depends on where you search: Institutional investor attention and underreaction to news, Review of Financial Studies 30, 3009-3047.
41. Chakrabarty, Bidisha, Pamela C. Moulton, and Charles Trzcinka, 2017, The performance of short-term institutional trades, Journal of Financial and Quantitative Analysis 52, 1403-1428.
42. Cheng, Si, Allaudeen Hameed, Avanidhar Subrahmanyam, and Sheridan Titman, 2017, Short-term reversals: The effects of past returns and institutional exits, Journal of Financial and Quantitative Analysis 52, 143-173.
43. Chiyachantana, Chiraphol, Pankaj K. Jain, Christine Jiang, and Vivek Sharma, 2017, Permanent price impact asymmetry of trades with institutional constraints, Journal of Financial Markets 36, 1-16.
44. Henry, Darren, Lily Nguyen, and Viet Hung Pham, 2017, Institutional trading before dividend reduction announcements, Journal of Financial Markets 36, 40-55.
45. Henry, Tyler R., and Jennifer L. Koski, 2017, Ex-Dividend Profitability and Institutional Trading Skill, Journal of Finance 72, 461-494.
46. Jain, Pankaj K., Emre Kuvvet, and Michael S. Pagano, 2017, Corruption’s impact on foreign portfolio investment, International Business Review 26, 23-35.
Kelley, Eric K., and Paul C. Tetlock, 2017, Retail short selling and stock prices,
Review of Financial Studies 30, 801-834.
- This paper does use Abel Noser data, but only to construct a control proxy for institutional trading in their analysis of retail short selling. Hence it's not counted toward the number of publications using Abel Noser data. Other publications directly analyze Abel Noser data.
47. Ben-Rephael, Azi, and Ryan D. Israelsen, 2018, Are some clients more equal than others? An analysis of asset management companies’ execution costs, Review of Finance 22, 1705–1736.
48. Gantchev, Nickolay, and Chotibhak Jotikasthira, 2018, Institutional trading and hedge fund activism, Management Science 64, 2930-2950.
49. Hu, Gang, Koren M. Jo, Yi Alex Wang, and Jing Xie, 2018, Institutional trading and Abel Noser data, Journal of Corporate Finance 52, 143-167.
50. Hu, Gang, Bin Ke, and Yong Yu, 2018, Can transient institutions correctly interpret small negative earnings surprises in
the absence of access to management’s private information?, Journal of Accounting, Auditing and Finance 33, 3-33. (Lead Article)
- Internet Appendix for matching Abel Noser data with 13F.
51. Jame, Russell, 2018, Liquidity provision and the cross section of hedge fund returns, Management Science 64, 3288-3312.
52. Ben-David, Itzhak, Francesco Franzoni, and Rabih Moussawi, Do ETFs increase volatility?, Journal of Finance, forthcoming.
53. Bhattacharya, Nilabhra, Young Jun Cho, and Jae B. Kim, Leveling the playing field between large and small institutions: Evidence from the SEC’s XBRL mandate, The Accounting Review, forthcoming.
54. Busse, Jeffrey A., Lin Tong, Qing Tong, and Zhe Zhang, Trading regularity and fund performance, Review of Financial Studies, forthcoming.
55. Chen, Yong, Zhi Da, and Dayong Huang, Arbitrage trading: The long and the short of it, Review of Financial Studies, forthcoming.
56. Huang, Wenli, Hai Lu, and Xiaolu Wang, Option backdating announcement and information advantage of institutional investors, Journal of Accounting, Auditing and Finance, forthcoming.
57. Lepone, Andrew, and Jin Boon Wong, The impact of mandatory IFRS reporting on institutional trading costs: Evidence from Australia, Journal of Business Finance and Accounting, forthcoming.
Working Papers using Abel Noser Data