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Title:Institutional investors and stock market efficiency: The case of the January anomaly PDF Logo
Authors:Bohl, Martin T.
Gottschalk, Katrin
Henke, Harald
Pál, Rozália
Issue Date:2006
Series/Report no.:The Postgraduate Research Programme working paper series / Europa-Universität Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa" 2006,6
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.
Subjects:Institutional Traders
Individual Investors
January Effect
Polish and Hungarian Pension Fund Investors
JEL:G14
G23
Document Type:Working Paper
Appears in Collections:Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina

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