Accounting Papers

Title

Stock Market Anomalies: What Can We Learn From Repurchases and Insider Trading?

Document Type

Journal Article

Date of this Version

3-2006

Publication Source

Review of Accounting Studies

Volume

11

Issue

1

Start Page

49

Last Page

70

DOI

10.1007/s11142-006-6395-y

Abstract

We examine whether managers’ 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.

Keywords

anomalies, accruals, post-earnings announcement drift

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Date Posted: 27 November 2017

This document has been peer reviewed.