The short-term impact of director trading in UK closed-end funds

Dimitris Andriosopoulos, Michael Steliaros, Dylan C. Thomas

Research output: Contribution to journalArticle

1 Citation (Scopus)
112 Downloads (Pure)

Abstract

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.
Original languageEnglish
Pages (from-to)672-690
Number of pages19
JournalEuropean Journal of Finance
Volume21
Issue number8
Early online date5 Feb 2014
DOIs
Publication statusPublished - 2015

Fingerprint

Closed-end funds
Purchase
Trading volume
Institutional investors
Retail
News
Buying behaviour
Investor decision making
Information asymmetry
Individual investors
Mandate
Price response

Keywords

  • general financial markets
  • information and market efficiency
  • event studies
  • general asset pricing
  • trading volume

Cite this

Andriosopoulos, Dimitris ; Steliaros, Michael ; Thomas, Dylan C. / The short-term impact of director trading in UK closed-end funds. In: European Journal of Finance. 2015 ; Vol. 21, No. 8. pp. 672-690.
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The short-term impact of director trading in UK closed-end funds. / Andriosopoulos, Dimitris; Steliaros, Michael; Thomas, Dylan C.

In: European Journal of Finance, Vol. 21, No. 8, 2015, p. 672-690.

Research output: Contribution to journalArticle

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