Abnormal Institutional Ownership and Expected Returns
Journal of Accounting, Auditing & Finance
Published online on March 14, 2025
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. ...
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. ...