Guide to Downloading Brokerage Trading Volume Data from Bloomberg

This data guide describes how to obtain the brokerage trading volume data used in Lehmer, Lourie, and Shanthikumar (2022) and Lourie, Shanthikumar, and Yoo (2022), from Bloomberg Terminal. The data is available at the broker-stock-day level, allowing for detailed analyses of brokerage trading volume. This data can be used to better understand the flow of trading volume through different brokerage houses, including examining brokerage trading volume relative to equity analyst research. We provide an overview of the brokerage trading volume data in Bloomberg and explain in detail how to download the brokerage trading volume data, including specific examples