Graas, A. (2015). The influence of management transactions on stock returns : evidence for Switzerland [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2015.25374
Directors' dealings; private and public information; firm valuation; disclosure requirements
en
Abstract:
This thesis examines the influence of management transactions on stock returns in Switzerland. As trading based on private information is forbidden and in a bid to improve stock market integrity, insiders are obligated to disclose their transactions to the Swiss stock exchange. The data sample consists of 1568 transactions from May 2011 to June 2014. An event study and a multivariate regression analysis are applied to measure abnormal returns around transactions. The results show significant negative abnormal performances following sale transactions and significant positive abnormal performances following purchase transactions. This indicates that management transactions reveal previously unknown information to investors. Further observations suggest firm size as an influencing factor with deals in small company stocks triggering greater market reactions. Somewhat unexpectedly, stock price momentum seems to have a considerable impact on long-term price development as well.
