RT Journal Article
SR Electronic
T1 Changes in Ownership Breadth and Capital Market Anomalies
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2021.1.317
DO 10.3905/jpm.2021.1.317
A1 Wu, Yangru
A1 Xu, Weike
YR 2021
UL http://jpm.pm-research.com/content/early/2021/12/11/jpm.2021.1.317.abstract
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.