Are Directors’ Dealings Informative? Evidence from European Stock Markets

Financial Markets and Portfolio Management, Vol. 25, No. 2, pp. 111-148, (Springer)

42 Pages Posted: 25 May 2010 Last revised: 17 Jun 2011

See all articles by Kaspar Dardas

Kaspar Dardas

EBS Universität für Wirtschaft und Recht - EBS Business School

Andre Guettler

Ulm University - Department of Mathematics and Economics; Halle Institute for Economic Research

Date Written: February 11, 2011

Abstract

In this paper, we investigate whether directors' dealings reports are informative for outside investors. We analyze short-term announcement effects for eight European countries, namely Austria, France, Germany, Ireland, Italy, the Netherlands, Sweden, and the U.K, between 01/2003 and 12/2009. We find significant announcement effects in four out of eight countries after directors' dealings reports have been disclosed. Moreover, we conclude that for most countries the magnitude of the announcement effect depends on transaction size, firm size, book to market ratio, and multiple trades by different insiders on the same trading day. The results are stronger for purchases than for sales. For France, Ireland and Sweden we find tentative evidence that the corporate position of an insider is connected to the size of the announcement effect. In some countries, we observe stronger announcement effects after the implementation of the E.U. Market Abuse Directive 2003/6/EC. Moreover, we find that abnormal returns after directors' dealings announcements are most pronounced in the healthcare and energy sectors.

Keywords: Directors’ dealings, Europe, insider hierarchy, R&D intensity

JEL Classification: G14, G15

Suggested Citation

Dardas, Kaspar and Guettler, Andre, Are Directors’ Dealings Informative? Evidence from European Stock Markets (February 11, 2011). Financial Markets and Portfolio Management, Vol. 25, No. 2, pp. 111-148, (Springer), Available at SSRN: https://ssrn.com/abstract=1615607

Kaspar Dardas

EBS Universität für Wirtschaft und Recht - EBS Business School ( email )

Gustav-Stresemann-Ring 3
65189 Wiesbaden, Hessen
Germany

Andre Guettler (Contact Author)

Ulm University - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

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