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Institutional trading in stock market anomalies in Australia

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  • Angel Zhong

Abstract

This study examines the role played by institutional investors in Australia. With a unique database that provides comprehensive coverage of institutional ownership, this study is the first to examine the overall performance of all institutions in the Australian equity market. Institutional investors do not outperform the market. Examining their trading activities in greater detail, we find that institutional investors do not exploit well‐known stock market anomalies, with the exception of momentum. Institutional investors are also found to sell loser stocks heavily at the end of the financial year, thus contributing to a strong quarter‐end momentum effect.

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  • Angel Zhong, 2022. "Institutional trading in stock market anomalies in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 893-930, March.
    • Handle: RePEc:bla:acctfi:v:62:y:2022:i:1:p:893-930
    DOI: 10.1111/acfi.12813
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