Institutional Investors and the Limits of Arbitrage PoorSatisfactoryGoodVery GoodExcellent Be the first. (0 ratings) Log in to rate this article. CFA Digest February 2012 | Vol. 42 | No. 1 | 3 pages Source: CFA InstituteJonathan LewellenRajiv Kalra, CFA (Reviewer) Read Abstract The author finds that institutional investors fail to achieve superior returnsand seem to lack stock-picking skills. Institutions appear to hold the marketportfolio because their returns are highly correlated with the value-weightedindex. Evidence also suggests that institutions do not emphasize thebook-to-market ratio, momentum, or accruals, which are attributes known topredict stock returns. View more information Topics Behavioral Finance : Limits to Arbitrage | Portfolio Management : Management of Institutional Investor Portfolios Credits · About the CE Program 0 CE (including 0 SER) Record credits Credits recorded Members, log in to record your credits. Manage CE Credits Loading ...