Strategy #0000000086 · Institutional ownership and social norms
Norm-constrained industries and institutional exclusion
Enter sector/market institutional ownership, returns and costs to inspect the ownership gap and assumed excess return.
Sin-stock research studies industries such as tobacco, alcohol and gaming that some investors exclude under social norms. Hong and Kacperczyk propose that lower institutional ownership may affect valuation and expected returns; this is descriptive market research, not a moral judgement. Regulation, litigation, taxes, ESG policies and sector risks can explain ownership and return differences.
Ownership differences do not prove that social norms cause excess returns and do not endorse the underlying businesses.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How does institutional underweighting relate to an assumed excess-return scenario?
Sin-stock research studies industries such as tobacco, alcohol and gaming that some investors exclude under social norms. Hong and Kacperczyk propose that lower institutional ownership may affect valuation and expected returns; this is descriptive market research, not a moral judgement. Regulation, litigation, taxes, ESG policies and sector risks can explain ownership and return differences.
Enter sector/market institutional ownership, returns and costs to inspect the ownership gap and assumed excess return.
Ownership differences do not prove that social norms cause excess returns and do not endorse the underlying businesses.
- Signal metricEnter sector/market institutional ownership, returns and costs to inspect the ownership gap and assumed excess return.
- Return scenarioOwnership differences do not prove that social norms cause excess returns and do not endorse the underlying businesses.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
OwnershipGap=IO_{market}-IO_{sector},\quad R_{excess}=R_{sector}-R_{market}-C
IO is institutional ownership; ownership and sector return gaps are scenario inputs.
Greeks: the directional intuition
- 資料時點
- Measures sensitivity to implied volatility.
- 模型風險
- Measures sensitivity to implied volatility.
- 執行成本
- Measures sensitivity to implied volatility.
OwnershipGap=IO_{market}-IO_{sector},\quad R_{excess}=R_{sector}-R_{market}-C
Practical context · published observations
Norm-constrained industries and institutional exclusion: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
Ownership differences do not prove that social norms cause excess returns and do not endorse the underlying businesses. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related approaches use different horizons and data.
Compare ranking rules, holding periods and cost assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Core version | Signal sort | Sin-stock research studies industries such as tobacco, alcohol and gaming that some investors exclude under social norms. Hong and Kacperczyk propose that lower institutional ownership may affect valuation and expected returns; this is descriptive market research, not a moral judgement. Regulation, litigation, taxes, ESG policies and sector risks can explain ownership and return differences. | Ownership differences do not prove that social norms cause excess returns and do not endorse the underlying businesses. |
| Industry-neutral version | Relative ranking | Compare firms within similar industries. | Classification and small samples affect signals. |
| Multi-signal version | Factor combination | Combine with quality or liquidity signals. | Adds weight, collinearity and data-mining risk. |
Ownership differences do not prove that social norms cause excess returns and do not endorse the underlying businesses.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.