---
title: Asset Allocation Mandates and Price Reactions
url: https://www.ml-quant.com/papers/ssrn/5073245/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5073245
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5073245
featured: 2025-01-01
citations: unknown
topic: Portfolio & Allocation
---


# Asset Allocation Mandates and Price Reactions

Asset allocation mandates affect stock price reactions to new information, with stocks with higher rebalancing fund ownership showing smaller price reactions to earnings surprises.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5073245
- Identifier: SSRN 5073245
- Released: 2024-10-20
- First featured: Quant Letter No. 80 (2025-01-01): https://www.ml-quant.com/issues/2025-01-01/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Pricing Factors](https://www.ml-quant.com/papers/ssrn/4980303/): A study proposes a new method for choosing factors in portfolio management, highlighting announcement return and earnings predictability as key, outperforming other methods.
- [Mutual Fund Networks](https://www.ml-quant.com/papers/ssrn/4943849/): Mutual fund managers' tunnel vision towards forecasts from connected analysts can negatively affect their trading performance due to exposure to these analysts' biases.
- [Earnings Forecasting and Mean-Variance Efficient Portfolios in the United States](https://www.ml-quant.com/papers/ssrn/4933869/): A study confirms the continued effectiveness of a 1993 financial engineering model, outperforming equity benchmarks from 2000-2022.
- [Mutual Fund Returns](https://www.ml-quant.com/papers/ssrn/4915104/): Research shows no significant difference in mutual fund returns during earnings season compared to non-earnings season, indicating other factors are more influential.
- [Yield-Based Asset Ratio](https://www.ml-quant.com/papers/ssrn/4772032/): Adjusting a portfolio's stock percentage based on stock earnings yield and bond current yield can help counter weak medium-term returns, suggests a paper.
- [Synthetic data for portfolios: a throw of the dice will never abolish chance](https://www.ml-quant.com/papers/arxiv/2501.03993/): The paper highlights the shortcomings of generative models in finance, suggesting a method for generating multivariate returns that meets standard evaluations and aligns with observed asset returns.