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Institutional Investor Participation and Stock Market Anomalies

Tao Shu

University of Georgia - Department of Finance

Oct 30, 2012

This paper investigates the impact of institutional trading volume on stock market anomalies. I construct a measure that evaluates the percentage of total trading volume of a stock accounted for by institutional trades. Using a large sample of firms from 1980–2005, I find strong evidence that the strength of stock market anomalies such as price momentum, post-earnings announcement drift, the value premium, and the investment anomaly is decreasing in institutional trading volume. Additionally, the effects of institutional trading volume are stronger than those of institutional ownership, the major measure of institutional investor participation in the finance literature. These findings suggest that institutional trading significantly improves stock price efficiency.

Number of Pages in PDF File: 38

Keywords: Institutional Trading Volume, Anomalies, Price Efficiency

JEL Classification: G12, G14, G20

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Date posted: March 14, 2006 ; Last revised: October 30, 2012

Suggested Citation

Shu, Tao, Institutional Investor Participation and Stock Market Anomalies (Oct 30, 2012). Available at SSRN: https://ssrn.com/abstract=890656 or http://dx.doi.org/10.2139/ssrn.890656

Contact Information

Tao Shu (Contact Author)
University of Georgia - Department of Finance ( email )
Department of Finance
Terry College of Business, University of Georgia
Athens, GA 30602
United States

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References:  138
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