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The informational content of insider trading disclosures: empirical results for the Polish stock market

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Author Info

  • Henryk Gurgul

    ()

  • Paweł Majdosz

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10100-006-0016-5
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Bibliographic Info

Article provided by Springer in its journal Central European Journal of Operations Research.

Volume (Year): 15 (2007)
Issue (Month): 1 (March)
Pages: 1-19

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Handle: RePEc:spr:cejnor:v:15:y:2007:i:1:p:1-19

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Web page: http://www.springer.com/business/operations+research/journal/10100

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Related research

Keywords: G14; Insider trading; Event study; Switching regressions; GARCH model;

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References

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  1. Jaffe, Jeffrey F, 1974. "Special Information and Insider Trading," The Journal of Business, University of Chicago Press, vol. 47(3), pages 410-28, July.
  2. Lin, Ji-Chai & Howe, John S, 1990. " Insider Trading in the OTC Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1273-84, September.
  3. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
  4. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 76-84, June.
  5. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
  6. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  7. Salinger, Michael, 1992. "Standard Errors in Event Studies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 39-53, March.
  8. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research.
  9. Seyhun, H Nejat, 1988. "The Information Content of Aggregate Insider Trading," The Journal of Business, University of Chicago Press, vol. 61(1), pages 1-24, January.
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Cited by:
  1. Chang, Chiao-Yi, 2013. "The market response of insider transferring trades and firm characteristics in Taiwan," Emerging Markets Review, Elsevier, vol. 16(C), pages 131-144.

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