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Stock market anomalies: What can we learn from repurchases and insider trading?


John E. Core


Massachusetts Institute of Technology (MIT) - Sloan School of Management

Wayne R. Guay


University of Pennsylvania - Accounting Department

Scott A. Richardson


London Business School

Rodrigo S. Verdi


Massachusetts Institute of Technology (MIT)
July 31, 2005


Abstract:     
We examine whether managers' trading decisions (both at a firm and personal level) are correlated with trading strategies suggested by the operating accruals and the post-earnings announcement drift (SUE) anomalies. We discuss advantages and disadvantages of the use of managerial trading activity to infer managers' private valuation about their own securities. Our results provide corroborative evidence for the accruals anomaly, i.e., managers' repurchase and insider trading behavior varies consistently with the information underlying the operating accruals trading strategy. On the other hand, we do not find corroborative evidence for the SUE anomaly.

Number of Pages in PDF File: 41

Keywords: Accruals, SUE, share repurchases, insider trading

JEL Classification: G14, G30, G35, M41, M43

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Date posted: April 20, 2004  

Suggested Citation

Core, John E., Guay, Wayne R., Richardson, Scott A. and Verdi, Rodrigo S., Stock market anomalies: What can we learn from repurchases and insider trading? (July 31, 2005). Available at SSRN: http://ssrn.com/abstract=533323 or http://dx.doi.org/10.2139/ssrn.533323

Contact Information

John E. Core
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
77 Massachusetts Ave.
E62-369
Cambridge, MA 02138
United States
Wayne R. Guay
University of Pennsylvania - Accounting Department ( email )
3641 Locust Walk
Philadelphia, PA 19104-6365
United States
215-898-7775 (Phone)
215-573-2054 (Fax)

Scott Anthony Richardson
London Business School ( email )
Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom
Rodrigo S. Verdi (Contact Author)
Massachusetts Institute of Technology (MIT) ( email )
Sloan School of Management
100 Main Street E62-679
Cambridge, MA 02142
United States
(617) 253 2956 (Phone)
Feedback to SSRN (Beta)


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