arbiter
JournalsPricingAccount

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

Matthias Bank et al.

Financial Markets and Portfolio Management2025https://doi.org/10.1007/s11408-025-00480-xarticle
AJG 2ABDC B
Weight
0.50

What the paper says

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.

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1007/s11408-025-00480-x

Or copy a formatted citation

@article{matthias2025,
  title        = {{Taste for characteristics or risk factor aversion? Evidence from institutional demand}},
  author       = {Matthias Bank et al.},
  journal      = {Financial Markets and Portfolio Management},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s11408-025-00480-x},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

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

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.