Institutional trades, corporate finance, and asset pricing anomalies
Our research module proposes to make use of recently available micro trading data in order to directly test corporate finance and asset pricing theories or shed light on empirical controversies. The ANcerno database that we plan on using contains the universe of individual institutional trades by US based investors. ANcerno enables researchers to directly ascertain the identity of investors. The potential for new research from this database is comparable, in our view, to that given by the Center for Research on Security Prices established in the 1960s. In this research module we plan to investigate IPO procedures, investor attention, and asset pricing anomalies.