Stock Price Around the Trades of Corporate Insider on the London Stock Exchange
AbstractThis paper examines the patterns of security returns around trades by corporate insiders in the shares of their own company. We find patterns in abnormal returns in the days around a directors trade that are consistent with directors engaging in short-term market timing: they sell (buy) after an increase (decline) in prices, and their trades are followed by a partial price reversal. This provides strong evidence that directors trade to exploit patterns in share prices. We also find positive gross, but not net, abnormal returns to imitating some of the trades of directors once transactions costs implicit in the bid ask spread are taken into account. We also report that some types of trades have superior predictive content for future returns. An important difference with previous work on this topic is that we find that medium-sized trades are more informative for short-term returns than large ones, consistent with Barclay and Warners (1993) ¶stealth trading¶ hypothesis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Financial Markets Group in its series FMG Discussion Papers with number dp332.
Date of creation: Aug 1999
Date of revision:
Contact details of provider:
Web page: http://www2.lse.ac.uk/fmg/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Emilio Barucci & Carlo Bianchi & Alberto Manconi, 2006. "Internal dealing regulation and insidersâ€™ trades in the Italian financial market," European Journal of Law and Economics, Springer, vol. 22(2), pages 107-119, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (The FMG Administration).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.