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| Author: | Friederich, S. |
| Title: | Short-run Returns around the Trades of Corporate Insiders on the London Stock Exchange |
| Journal: | European Financial Management
2002 : MAR, VOL. 8:1, p. 7-30 |
| Index terms: | RETURN ON INVESTMENT TRADE COMPANIES INSIDER TRADING STOCK EXCHANGES |
| Language: | eng |
| Abstract: | Previous work examined the long-run profitability of strategies mimicking the trades company directors to the shares of their own company, as a way of testing for market efficiency. The current paper examines patterns in abnormal returns in the days around these trades on the London Stock Exchange. The authors find movements in returns that are consistent with directors engaging in short-term market timing. The authors also report that some types of trades have superior predictive content over future returns. In particular, medium-sized trades are more informative for short-term returns than large ones, consistent with Barclay and Warner's (1993) 'stealth trading' hypothesis whereby informed traders avoid trading in blocks. |
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