Ownership data

Robeco has been a pioneer in the field of quantitative stock selection since the early ‘90s. In 1994 the first stock selection models were used in Robeco equity strategies. Following the success of these models in practice, in 2002 Robeco launched a 100% quantitative equity product line. Over the years the amount of equity strategies grew with introduction of new products in different regional exposures and risk-return characteristics.

In this project, you will investigate the stream of literature addressing ownership data. Chen et al. (2002) investigate ownership breadth find that the amount of investors that hold long positions affects prices relative to their fundamentals. Other research investigates insider ownership (Han and Suk, 1998) or CEOs ownership (Von Lilienfeld-Toal and Ruenzi, 2014) and find a relationship to stock returns. This project investigates these relationships in more detail and allows to relate ownership data to other ideas that can serve quantitative investment strategies.

The project covers the entire quant model development cycle: conducting a literature review, analyzing the data, programming the back-tests, analyzing the results, discussing results with researchers and portfolio managers, writing a research report and giving a presentation. As with all Super Quant internships, the assignment will be supervised by an experienced empirical researcher of Robeco’s Quantitative Strategies department. Practical feedback will be provided by several equity portfolio managers. Creative, analytic and programming skills are essential in order to successfully complete the project.

Are you interested?

Let us know your motivation and send it together with your CV and list of grades to SQ@robeco.nl.

References

Chen, Hong & Stein (2002). Breadth of ownership and stock returns. Journal of financial Economics 66. 171-205.

Han, K. C., & Suk, D. Y. (1998). The effect of ownership structure on firm performance: Additional evidence. Review of Financial Economics, 7(2), 143-155.

Lilianfeld-Toal & Ruenzi (2014). CEO ownership, stock market performance, and managerial discretion. The Journal of Finance 69(3), 1013-1050.