Signalling Characteristics and Information Content of Directors’ Dealings on the London Stock Exchange
Journal of Risk and Governance , Vol. 1, No. 1, 2008
24 Pages Posted: 26 Nov 2010
Date Written: 2008
The study investigates the information content of insider trading transactions employing different signal definitions. Using directors' open market dealings during the period 1999-2000 for FTSE100 companies and new extensions of the event study methodology, the evidence suggests directors have, and trade on, price-sensitive private information and, thus, attain short-term abnormal returns. The study finds that the market perceives such transactions as price sensitive signals. Selling signals are assimilated by the market later than buying signals but create greater market reaction, particularly when the signal is reinforced by the trades of more than one director.
Keywords: Insider Trading Event, Study Directors
JEL Classification: G14
Suggested Citation: Suggested Citation