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

• 成果类型: Article
• 署名作者: Core, JE; Guay, WR; Richardson, SA; Verdi, RS
• 署名单位: University of Pennsylvania
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-006-6395-y
• 发表日期: 2006
• 页码: 49-70
• 关键词: FULLY REFLECT; earnings; EFFICIENCY; prices

摘要

We examine whether manager's 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.