Intraday Effects Around Directors’ Dealings: Disclosures in Germany and the United Kingdom

Abstract:     
This article analyzes intraday stock price and trading volume reactions to directors’ dealings announcements in Germany and the United Kingdom from January 2007 to June 2010. The main findings show that prompt public disclosure of directors’ dealings, as mandated by the EU Transparency Directive, is relevant for the pricing of stocks. For stocks with the highest instant market reaction, the main price and volume formation takes place within 15 minutes following the announcement and remains unchanged in the subsequent days.

Keywords: directors’ dealings, transparency directive, intraday, liquidity

JEL Classification: G14, G15, G38

Accepted Paper Series