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<p>We disentangle the relevance of risk factors versus stock characteristics by employing the information content of institutional portfolio holdings. Instead of focusing on the cross section of expected returns, we show that stock-level excess demand derived from 13(f) filings is strongly associated with stock characteristics after controlling for the usual risk factors. Furthermore, we find strong evidence that this characteristic-induced demand is pricing-relevant. Our results suggest a dominant role of characteristics for determining investors’ excess demand. Robustness checks discard the concern that our results are driven by latent risk factors, poor factor proxies, micro-caps or that it can be easily arbitraged away.</p>

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Taste for characteristics or risk factor aversion? Evidence from institutional demand

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2025年6月23日

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  • Matthias Bank,
  • Franz Insam,
  • Jochen Lawrenz

摘要

We disentangle the relevance of risk factors versus stock characteristics by employing the information content of institutional portfolio holdings. Instead of focusing on the cross section of expected returns, we show that stock-level excess demand derived from 13(f) filings is strongly associated with stock characteristics after controlling for the usual risk factors. Furthermore, we find strong evidence that this characteristic-induced demand is pricing-relevant. Our results suggest a dominant role of characteristics for determining investors’ excess demand. Robustness checks discard the concern that our results are driven by latent risk factors, poor factor proxies, micro-caps or that it can be easily arbitraged away.