Retail Ownership Enhances Non-Macro Factor Returns

Investor Heterogeneity and Factor Pricing

AuthorsGrace Xing Hu; Zhao Jin; Jianfeng Yu

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=4046898

This strategy exploits residual institutional ownership and twelve characteristic factors to capture mispricing in stocks, constructing long-short portfolios based on low versus high institutional influence.

Low residual institutional ownership stocks show stronger pricing of characteristic factors, enabling quarterly rebalanced portfolios to generate significant returns by targeting retail-driven mispricing.