Factor Ownership Predicts Factor Returns

Smart-Beta Institutional Ownership and Stock Return Anomalies

AuthorsJihong Song

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=4321764

This strategy predicts stock returns by combining seven anomaly factors with smart-beta institutional ownership, creating long-short portfolios that exploit mispricing caused by investor demand differences.

It leverages composite scores and ownership measures to capture mispricing effects from smart-beta investors, enhancing returns while accounting for factor heterogeneity and market segmentation.