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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper Series ; No. 2006,6

Classification and Topics

• Classification: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
• Subject: Institutional Traders ; Individual Investors ; January Effect ; Polish and Hungarian Pension Fund Investors

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bohl, Martin T. ; Gottschalk, Katrin ; Henke, Harald ; Pál, Rozália
• Event: Veröffentlichung
• (who): European University Viadrina, The Postgraduate Research Programme: Capital Markets and Finance in the Enlarged Europe
• (where): Frankfurt (Oder)
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/22111
• Last update: 10.03.2025, 11:45 AM CET