Abstract

http://ssrn.com/abstract=1964255
 
 

References (86)



 


 



Do Managers Trade on Public or Private Information? Evidence from Fundamental Valuations


David Veenman


Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)


European Accounting Review, Vol. 22, No. 3, pp. 427-465, 2013

Abstract:     
Using accounting-based (residual income) valuations, this study examines the extent to which abnormal returns after insider share trades are explained by private information versus mispricing of public information. For a sample of insider trades in the Netherlands (1999-2008), I find that managers’ share purchase decisions are associated with positive future abnormal returns as well as equity undervaluation. Even though undervaluation results in predictable price increases, positive abnormal returns following purchases persist after controlling for fundamental valuations. Thus, this study provides evidence on the sources of managers’ personal trading gains and suggests that positive abnormal returns after insider share purchases reflect both private information and managers’ responses to market mispricing of public information.

Number of Pages in PDF File: 58

Keywords: insider trading, mispricing, residual income valuation, private information

JEL Classification: D82, G14, M41

Accepted Paper Series


Download This Paper

Date posted: November 25, 2011 ; Last revised: August 23, 2013

Suggested Citation

Veenman, David, Do Managers Trade on Public or Private Information? Evidence from Fundamental Valuations. European Accounting Review, Vol. 22, No. 3, pp. 427-465, 2013. Available at SSRN: http://ssrn.com/abstract=1964255 or http://dx.doi.org/10.2139/ssrn.1964255

Contact Information

David Veenman (Contact Author)
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands
Feedback to SSRN


Paper statistics
Abstract Views: 373
Downloads: 88
Download Rank: 169,265
References:  86

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.625 seconds