PT  - JOURNAL ARTICLE
AU  - Yangru Wu
AU  - Weike Xu
TI  - Changes in Ownership Breadth and Capital Market Anomalies
AID  - 10.3905/jpm.2021.1.317
DP  - 2021 Dec 11
TA  - The Journal of Portfolio Management
PG  - jpm.2021.1.317
4099  - https://pm-research.com/content/early/2021/12/11/jpm.2021.1.317.short
4100  - https://pm-research.com/content/early/2021/12/11/jpm.2021.1.317.full
AB  - The authors investigate how the interaction between entries and exits of informed institutional investors and market anomaly signals affects strategy performance. The long legs of anomalies earn more positive alphas following entries, whereas 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 five-factor alpha. The entries and exits of institutional investors capture informed trading and earnings surprises, thereby enhancing the anomalies.