Overreaction and insider trading: Evidence from growth and value portfolios

• 成果类型: Article
• 署名作者: Rozeff, MS; Zaman, MA
• 署名单位: State University of New York (SUNY) System; University at Buffalo, SUNY; University of Northern Iowa
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.275500
• 发表日期: 1998
• 页码: 701-716
• 关键词: CONTRARIAN INVESTMENT; MARKET-EFFICIENCY; cross-section; performance; stocks; returns; COSTS

摘要

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 also is greater after low 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.