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Strategic complementarity and substitutability of investment strategies

Nikolay Doskov, Thorsten Hens and Klaus Schenk-Hoppé
Additional contact information
Nikolay Doskov: LGT Capital Partners, Pfaffikon
Thorsten Hens: University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute

No 22-04, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Institutional investors in equities tend to follow well-defined investment strategies, often based on factors such as size, value, momentum, quality, dividend yield and other stock characteristics. This paper explores the impact of capital flows between investment strategies on the cross-section of their performance. We find that the correlation between factor performance and the cyclical nature of risk premia can be explained by capital flows. The CAPM with a non-mean-variance investor supports these results.

Pages: 52 pages
Date: 2022-01
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-isf
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