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

Martin T. Bohl, Katrin Gottschalk () and Rozália Pál

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Institutional traders; Individual investors; January effect; Polish and Hungarian pension fund investors (search for similar items in EconPapers)
JEL-codes: G14 G23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2006-03, Revised 2006-11
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:677

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