Most recents (2)

1/ Institutional Investors and Stock Return Anomalies (Edelen, Ince, Kadlec)

"At the one-year horizon, institutions have a strong tendency to buy overvalued stocks (anomalies' short legs) and which have particularly negative ex-post abnormal returns."

papers.ssrn.com/sol3/papers.cf…

2/ SIH = sophisticated institutions hypothesis (agents trading in a way that exploits anomaly return predictability)

"We assign anomalies to seven broad categories, choosing the one from each category with the most reliable alpha (highest t-statistic) during our sample period."

3/ "Because our central hypothesis centers around how institutional investors modify their portfolios as stocks take on anomaly characteristics, we examine changes in holdings rather than levels. We focus on the number of institutions holding a stock rather than % shares held."

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Satya Dash

@satyadash