TY - JOUR
T1 - The short-term impact of director trading in UK closed-end funds
AU - Andriosopoulos, Dimitris
AU - Steliaros, Michael
AU - Thomas, Dylan C.
N1 -
This is an accepted manuscript of an article published by Taylor & Francis in The European Journal of Finance on 05 Feb 2014, available online: http://www.tandfonline.com/10.1080/1351847X.2013.867522.
PY - 2015
Y1 - 2015
N2 - Most closed-end funds are transparent entities that hold securities that are actively traded in liquid markets. In such a setting, the argument that director transactions mitigate information asymmetry has very limited applicability. Our results provide support for the theory of Barber and Odean [2008. “All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors.” Review of Financial Studies 21: 785–818]: retail investor decision-making is influenced by attention-grabbing events. Director purchases are one such attention-grabbing event and are associated with significant positive price returns – the magnitudes of which are linked to the size of the purchase, the size of the fund, and the investment mandate. Trading volumes increase at the time of the purchase but most of the initial price responses and trading volumes dissipate over the following 15 days.
AB - Most closed-end funds are transparent entities that hold securities that are actively traded in liquid markets. In such a setting, the argument that director transactions mitigate information asymmetry has very limited applicability. Our results provide support for the theory of Barber and Odean [2008. “All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors.” Review of Financial Studies 21: 785–818]: retail investor decision-making is influenced by attention-grabbing events. Director purchases are one such attention-grabbing event and are associated with significant positive price returns – the magnitudes of which are linked to the size of the purchase, the size of the fund, and the investment mandate. Trading volumes increase at the time of the purchase but most of the initial price responses and trading volumes dissipate over the following 15 days.
KW - general financial markets
KW - information and market efficiency
KW - event studies
KW - general asset pricing
KW - trading volume
UR - http://www.tandfonline.com/action/showAxaArticles?journalCode=rejf20
U2 - 10.1080/1351847X.2013.867522
DO - 10.1080/1351847X.2013.867522
M3 - Article
SN - 1351-847X
VL - 21
SP - 672
EP - 690
JO - European Journal of Finance
JF - European Journal of Finance
IS - 8
ER -