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Spread behavior around board meetings for firms with concentrated insider ownership

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  • Mishra, Suchi
  • Rowe, Wei
  • Prakash, Arun
  • Ghosh, Dilip K.

Abstract

For a set of firms with concentrated insider ownership, we find that (a) the bidask spread changes significantly around the board meeting dates, and (b) the actual number of transactions by insiders increases following the board meetings. We also find that there is a statistically significant relationship between spread and the number of insider trades surrounding the board meeting dates. Furthermore, neither an increase in the number of insider transactions nor any significant relationship between insider trading and the spread is observed for the same set of firms around non-board meeting dates.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 12 (2009)
Issue (Month): 4 (November)
Pages: 592-610

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Handle: RePEc:eee:finmar:v:12:y:2009:i:4:p:592-610

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Web page: http://www.elsevier.com/locate/finmar

Related research

Keywords: Spread Board meeting Insider trading Market microstructure;

References

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  1. Tobin, James, 1970. "Money and Income: Post Hoc Ergo Propter Hoc?: Rejoinder," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 84(2), pages 328-29, May.
  2. Tobin, James, 1970. "Money and Income: Post Hoc Ergo Propter Hoc?," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 84(2), pages 301-17, May.
  3. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 5-26, September.
  4. Demsetz, Harold, 1986. "Corporate Control, Insider Trading, and Rates of Return," American Economic Review, American Economic Association, vol. 76(2), pages 313-16, May.
  5. Chiang, Raymond & Venkatesh, P C, 1988. " Insider Holdings and Perceptions of Information Asymmetry: A Note," Journal of Finance, American Finance Association, vol. 43(4), pages 1041-48, September.
  6. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
  7. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 71-100, March.
  8. Garfinkel, Jon A. & Nimalendran, M., 2003. "Market Structure and Trader Anonymity: An Analysis of Insider Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(03), pages 591-610, September.
  9. Vafeas, Nikos, 1999. "Board meeting frequency and firm performance," Journal of Financial Economics, Elsevier, Elsevier, vol. 53(1), pages 113-142, July.
  10. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-34, March.
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