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| Tekijä: | Gregory, A. Matatko, J. Tonks, I |
| Otsikko: | Detecting information form Directors' trades: Signal definition and variable size effects |
| Lehti: | Journal of Business Finance and Accounting
1997 : APR, VOL. 24:3/4, p. 309-342 |
| Asiasana: | INSIDER TRADING MARKET EFFICIENCY |
| Kieli: | eng |
| Tiivistelmä: | The former UK studies examining the share prise reaction following trades by directors of UK companies, used different definitions of "buy" and "sell" signals resulting from the transactions of directors and employ different controls to detect the presence of size effects. This paper examines whether the signal definition explains earlier studies' different conclusions, and whether or not any observed abnormal returns are explicable by the small companies effect. Trading strategies based on holding a long portfolio of shares purchased or a short portfolio of shares sold by directors held until the end of study period are also investigated. |
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