Overreaction and Insider Trading: Evidence from Growth and Value Portfolios

Rozeff, Michael S.; Zaman, Mir A.

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Overreaction and Insider Trading: Evidence from Growth and Value Portfolios

Journal of Finance, Vol. 23, No. 2, April 1998

16 Pages Posted: 19 May 2006

See all articles by Michael S. Rozeff

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Mir A. Zaman

University of Northern Iowa - Department of Finance

Abstract

Insider transactions are not random across growth and value stocks. We find that insider buying climbs as stocks change from growth to value categories. Insider buying is also greater after lower stock returns, and lower after high stock returns. These findings are consistent with a version of overreaction which says that prices of value stocks tend to lie below fundamental values, and prices of growth stocks tend to lie above fundamental values.

Keywords: Overreaction, growth, value, insider trading

JEL Classification: G12, G14

Suggested Citation: Suggested Citation

Rozeff, Michael S. and Zaman, Mir, Overreaction and Insider Trading: Evidence from Growth and Value Portfolios. Journal of Finance, Vol. 23, No. 2, April 1998, Available at SSRN: https://ssrn.com/abstract=903216