Institutional investors and stock market efficiency: The case of the January anomaly

Bohl, Martin T. and Gottschalk, Katrin and Pál, Rozália (2006): Institutional investors and stock market efficiency: The case of the January anomaly.

Abstract

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
• Language: English
• 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 ; Insider Trading; G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors

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