Institutional investors and stock market efficiency: The case of the January anomaly
AbstractIn 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 677.
Date of creation: Mar 2006
Date of revision: Nov 2006
Institutional traders; Individual investors; January effect; Polish and Hungarian pension fund investors;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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