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Abnormal Institutional Ownership and Expected Returns

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Journal of Accounting, Auditing & Finance

Published online on

Abstract

Journal of Accounting, Auditing & Finance, Volume 41, Issue 2, Page 524-546, April 2026.
I analyze 2,287,907 firm-month observations over 1984–2022 and show that public regulatory 13F filings of institutional ownership contain exploitable information about expected returns even after they have been disclosed to outsiders with a 45-day delay. ...