English, Article, Journal or magazine article edition: Stock Price Around the Trades of Corporate Insider on the London Stock Exchange John Matatko; Alan Gregory; Ian Tonks; ...

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Bookmark: http://trove.nla.gov.au/version/45467
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Stock Price Around the Trades of Corporate Insider on the London Stock Exchange
Author
  • John Matatko
  • Alan Gregory
  • Ian Tonks
  • Sylvain Friederich
Physical Description
  • preprint
Notes
  • This 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.
  • RePEc:fmg:fmgdps:dp332
Language
  • English
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