Changes in Ownership Breadth and Capital Market Anomalies
Journal of Portfolio Management, Forthcoming
28 Pages Posted: 19 Jun 2017 Last revised: 7 Jun 2021
Date Written: May 22, 2021
Abstract
We investigate how the interaction of entries and exits of informed institutional investors with
market anomaly signals affects strategy performance. The long legs of anomalies earn more
positive alphas following entries, while the short legs earn more negative alphas following exits.
The enhanced anomaly-based strategies of buying stocks in the long legs of anomalies with entries
and shorting stocks in the short legs with exits outperform the original anomalies with an increase
of 19-54 bps per month in the Fama-French (2015) five-factor alpha. The entries and exits of
institutional investors capture informed trading and earnings surprises thereby enhancing the
anomalies.
Keywords: Institutional investors, Capital market anomalies, Performance enhancement
JEL Classification: G23, G12
Suggested Citation: Suggested Citation