Bohl, Martin T. and Gottschalk, Katrin and Pál, Rozália (2006): Institutional investors and stock market efficiency: The case of the January anomaly.
Download (195Kb) | Preview
In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on the impact of individual versus institutional investors on the January effect. We find robust empirical results that the increase in institutional ownership has reduced the magnitude of an anomalous January effect induced by individual investors’ trading behavior.
|Item Type:||MPRA Paper|
|Original Title:||Institutional investors and stock market efficiency: The case of the January anomaly|
|Keywords:||Institutional traders; Individual investors; January effect; Polish and Hungarian pension fund investors|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
|Depositing User:||Katrin Gottschalk|
|Date Deposited:||05. Nov 2006|
|Last Modified:||13. Feb 2013 20:43|
Badrinath, S. G. and S. Wahal, 2002, Momentum Trading by Institutions, Journal of Finance 57, 2449–2478. Baltagi, B. H., 2001, Econometric Analysis of Panel Data (John Wiley & Sons, Chichester, England), 2nd edition. Banz, R. W., 1981, The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3–18. Barber, B. M. and T. Odean, 2005, All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, http://ssrn.com/abstract=460660. Barclay, M. J. and J. B. Warner, 1993, Stealth Trading and Volatility: Which Trades Move Prices?, Journal of Financial Economics 34, 281–305. Chan, S.-H., W.-K. Leung, and K. Wang, 2004, The Impact of Institutional Investors on the Monday Seasonal, Journal of Business 77, 967–986. Cohen, R. B., P. A. Gompers, and T. Vuolteenaho, 2002, Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions, Journal of Financial Economics 66, 409–462. Dennis, P. J. and J. P. Weston, 2001, Who’s Informed? An Analysis of Stock Ownership and Informed Trading, http://ssrn.com/abstract=267350. Ernst & Young, Worldwide Corporate Tax Guide and Directory, various editions. Ernst & Young, Worldwide Personal Tax Guide and Directory, various editions. Gompers, P. A. and A. Metrick, 2001, Institutional Investors and Equity Prices, Quarterly Journal of Economics 116, 229–259. Griffin, J. M., J. H. Harris, and S. Topaloglu, 2003, The Dynamics of Institutional and Individual Trading, Journal of Finance 58, 2285–2320. Grinblatt, M., S. Titman, and R. Wermers, 1995, Momentum Investment Strategies, Portfolio Performance, and Herding: A Study on Mutual Fund Behavior, American Economic Review 85, 1088–1105. Gultekin, M. N. and N. B. Gultekin, 1983, Stock Market Seasonality: International Evidence, Journal of Financial Economics 12, 469–481. Jones, C. P., D. K. Pearce, and J. W. Wilson, 1987, Can Tax-Loss Selling Explain the January Effect? A Note, Journal of Finance 42, 453–461. Kamara, A., 1997, New Evidence on the Monday Seasonal in Stock Returns, Journal of Business 70, 63–84. Kyle, A. S., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315–1335. Lakonishok, J., A. Shleifer, R. Thaler, and R. Vishny, 1991, Window Dressing By Pension Fund Managers, American Economic Review 81, 227–231. Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, The Impact of Institutional Trading on Stock Prices, Journal of Financial Economics 32, 23–43. Madhavan, A. and S. Smidt, 1993, An Analysis of Changes in Specialist Inventories and Quotations, Journal of Finance 48, 1595–1628. Nofsinger, J. R. and R. W. Sias, 1999, Herding and Feedback Trading by Institutional and Individual Investors, Journal of Finance 54, 2263–2295. PricewaterhouseCoopers, Corporate Taxes: Worldwide Summaries, various editions (New York: John Wiley & Sons, Inc.). PricewaterhouseCoopers, Individual Taxes: Worldwide Summaries, various editions (New York: John Wiley & Sons, Inc.). Reinganum, M. R., 1983, The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-Loss Selling Effects, Journal of Financial Economics 12, 89–104. Ritter, J. R., 1988, The Buying and Selling Behavior of Individual Investors at the Turn of the Year, Journal of Finance 43, 701–717. Rockinger, M. and G. Urga, 2001, A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies, Journal of Business and Economic Statistics 19, 73–84. Sias, R. W. and L. T. Starks, 1997, Institutions and Individuals at the Turn-of-the-Year, Journal of Finance 52, 1543–1562. Szakmary, A. C. and D. B. Kiefer, 2004, The Disappearing January/Turn of the Year Effect: Evidence from Stock Index Futures and Cash Markets, Journal of Futures Markets 24, 755–784. Tinic, S. M., G. Barone-Adesi, and R. R. West, 1987, Seasonality in Canadian Stock Prices: A Test of the “Tax-Loss-Selling” Hypothesis, Journal of Financial and Quantitative Analysis 22, 51–64. Warsaw Stock Exchange. Fact Book. Warsaw, Poland: www.wse.com.pl (2005).