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Insider trading and market reaction: the change in disclosure regulations. / Insider trading & market reactionJanuary 2006 (has links)
Wan Yanyan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 53-56). / Abstracts in English and Chinese. / Chapter I. --- Introduction --- p.1 / Chapter II --- Disclosure of Interests (DI) Regimes in Hong Kong --- p.5 / Chapter II.1. --- Development of Disclosure of Interests (DI) Regulations --- p.5 / Chapter II.2. --- Differences in Two Disclosure of Interests (DI) Regimes --- p.8 / Chapter III. --- Literature Review and Hypotheses --- p.11 / Chapter IV. --- Data and Methodology --- p.15 / Chapter IV.1. --- Data --- p.15 / Chapter IV.2. --- Descriptive Statistics --- p.20 / Chapter IV.3. --- Methodology --- p.22 / Chapter V. --- Results --- p.24 / Chapter V.1. --- Market Reaction to Insiders,Transactions --- p.24 / Chapter V.2. --- Information Asymmetry Hypothesis --- p.28 / Chapter V.2.1. --- Company Size Effect --- p.28 / Chapter V.2.2. --- Index Membership Effect --- p.32 / Chapter V.2.3. --- Industry Effect --- p.34 / Chapter V.2.4. --- Tests of Information Asymmetry Hypothesis for Subsamples --- p.41 / Chapter V.3. --- The Effect of Different DI Regulations --- p.42 / Chapter V.3.1. --- Full Sample --- p.43 / Chapter V.3.2. --- Subsamples --- p.48 / Chapter VI. --- Conclusion --- p.49 / Reference --- p.53 / Appendices --- p.57 / Appendix 1 --- p.57 / Appendix 2 --- p.67 / Appendix 3 --- p.70
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Insider trading and stock volatility.January 2004 (has links)
Tam,Tsz-Wa. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 105-109). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Table of Contents --- p.v / Chapter Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Insider Trading and Corporate Governance --- p.1 / Chapter 1.2 --- Insider Trading and Stock Volatility --- p.3 / Chapter 1.3 --- Objective of the Thesis Research --- p.4 / Chapter Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Review of Theoretical Literature --- p.6 / Chapter 2.2 --- Review of Empirical Literature --- p.18 / Chapter Chapter 3 --- Insider Dealing Regulations in Hong Kong --- p.24 / Chapter Chapter 4 --- Data --- p.27 / Chapter 4.1 --- Data Collection --- p.27 / Chapter 4.2 --- Summary Statistics of Insider Trading Data --- p.30 / Chapter Chapter 5 --- Methodology --- p.31 / Chapter 5.1 --- Hypothesis --- p.31 / Chapter 5.2 --- Event Study --- p.32 / Chapter 5.3 --- Vector Autoregression (VAR) Analysis --- p.41 / Chapter Chapter 6 --- Empirical Results: Event Study --- p.51 / Chapter 6.1 --- General Description of Results --- p.51 / Chapter 6.2 --- Volatility Change Immediately before Insider Trading --- p.53 / Chapter 6.3 --- Volatility Immediately before and after Insider Trading --- p.61 / Chapter 6.4 --- Volatility Change Immediately after Insider Trading --- p.67 / Chapter 6.5 --- Intermediate Term Volatility before and after Insider Trading --- p.72 / Chapter 6.6 --- Chapter Summary and Discussion --- p.79 / Chapter Chapter 7 --- Empirical Results: Vector Autoregression (VAR) Analysis --- p.83 / Chapter 7.1 --- Volatility of Hang Seng Index Return --- p.83 / Chapter 7.2 --- Volatility of Market Value Weighted Index Return --- p.85 / Chapter 7.3 --- Volatility of Equal Weighted Index Return --- p.87 / Chapter 7.4 --- Aggregate Total Volatility --- p.89 / Chapter 7.5 --- Aggregate Abnormal Return Volatility --- p.91 / Chapter 7.6 --- Aggregate Firm Specific Volatility --- p.93 / Chapter 7.7 --- Chapter Summary and Discussion --- p.95 / Chapter Chapter 8 --- Conclusion --- p.97 / Bibliography --- p.105
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Stock price synchronicity and insider trading: the evidence from China.January 2011 (has links)
Zhang, Yujie. / "August 2011." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 53-56). / Abstracts in English and Chinese. / Abstract --- p.ii / 摘要 --- p.iii / Acknowledgement --- p.iv / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Institutional background and research hypotheses --- p.8 / Chapter 2.1 --- Rules and regulations in China --- p.8 / Chapter 2.2 --- Ownership structure and corporate governance in China --- p.11 / Chapter 2.3 --- Research hypothesis --- p.13 / Chapter 3. --- Construction of variables and model specification --- p.17 / Chapter 3.1 --- Stock return synchronicity (SYNCH) --- p.17 / Chapter 3.2 --- Insider trading --- p.18 / Chapter 3.3 --- Control variables --- p.21 / Chapter 3.4 --- Ownership structure and corporate governance indicators --- p.23 / Chapter 4. --- Descriptive statistics --- p.30 / Chapter 4.1 --- Insider trading --- p.31 / Chapter 4.2 --- Synchronicity --- p.34 / Chapter 4.3 --- Summary of all variables --- p.35 / Chapter 5. --- Regression analysis --- p.37 / Chapter 5.1 --- Effect of insider trading on stock price synchronicity --- p.37 / Chapter 5.2 --- Effect of insider trading by different identities on stock price synchronicity --- p.39 / Chapter 5.3 --- Effect of insider trading on stock price synchronicity under various corporate governance --- p.42 / Chapter 6. --- Robustness checks --- p.46 / Chapter 6.1 --- insider trading and industry-level return --- p.46 / Chapter 6.2 --- The effect of insider trading on industry vs. firm-specific earnings information --- p.47 / Chapter 7. --- Conclusions --- p.51 / References: --- p.53 / Appendix: Variable definitions: --- p.80
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The regulation of insider trading in South Africa: a roadmap for effective, competitive and adequate regulatory statutory frameworkChitimira, Howard January 2008 (has links)
Insider trading is one of the practices that (directly or indirectly) lead to a host of problems for example inaccurate stock market prices, high inflation, reduced public investor confidence, misrepresentation and non disclosure of material facts relating to securities and financial instruments. Again it reduces efficiency in the affected companies and eventually leads to economic underperformance. The researcher observed that the South African insider trading regulatory framework has some gaps and flaws which need to be adequately addressed to ensure efficient and stable financial markets. Therefore, the aim of this research is to provide a clear roadmap for an effective, efficient, adequate and internationally competitive insider trading regulatory framework in South Africa. In order to achieve the above stated aim, the historical development of the regulation insider trading is critically analyzed. The effectiveness and adequacy of the Insider Trading Act, 135 of 1998 is also discussed. Furthermore, the prohibition of insider trading under Securities Services Act, 36 of 2004 is explored and analyzed to investigate its adequacy. The role of the Financial Services Board, the Courts and the Directorate for Market Abuse is also scrutinized extensively. Moreover, a comparative analysis is undertaken of the regulation of insider trading in other jurisdictions of United States of America, Canada and Australia. This is done to investigate any lessons that can be learnt or adopted from these jurisdictions. The researcher strongly contends that having the best insider trading laws on paper alone will not cure the insider trading problem. What is required are adequate laws that are enforced effectively in South African courts. Therefore an adequate insider trading regulatory framework must be put in place to improve the efficiency of South African financial markets, to maintain a stable economy, combat misrepresentation and non disclosure of material facts in transactions relating to securities. The researcher has attempted to state the law as at 31 August 2007.
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The new insider trading provisionsSpeedie, Miles Stuart 01 1900 (has links)
It is unfair to the investing public and detrimental to the
interests of the security markets for a person to trade on the
basis of inside information. In this short dissertation, the
laws regulating insider trading in South Africa prior to the
current legislative provisions are briefly discussed. It is
found that the old provisions were inadequate in deterring and
punishing insider trading activities. The current legislative
provisions are analysed in detail. It becomes clear that whilst
the current provisions are a substantial improvement on their
predecessor, certain aspects need to be reconsidered. These
include the widening of their scope to include trading in all
kinds of derivatives; the reformulation of the statutory civil
action and the empowerment of the securities regulation panel
to bring a civil action against insider traders. / Private Law / LL.M.
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Two Essays on An Examination of Life Cycle Effects and Firm PoliciesUnknown Date (has links)
In Essay 1, I investigate the impact of corporate life cycle dynamics on the
observed negative association between asset growth and stock returns in the crosssection.
I find that the asset growth effect on average exists across some life cycle stages
measured using cohorts. However, controlling for certain variables associated with the
theoretical explanations, I find there is no relation between asset growth and returns. I
argue this evidence is consistent with an agency-based explanation of the asset growth
effect. Furthermore, a decomposition of the drivers of the effect shows that different
components of assets (i.e. working capital and financing) drive asset growth effect at
different life cycle stages. From a decomposition analyses, results show that in the
youngest firms (cohort 1), asset growth effect is mostly driven by both operating liability
and stock financing on one side (financing) and noncash current assets, PPE, and growth
in other assets (for working capital) while cohort 3’s drivers appear to be stock issuances, together with noncash current assets, which I conclude offer further support for
agency issues.
In Essay 2, I examine how firms’ life cycle affect insider trading behavior, profits
surrounding trades, price informativeness, and financing constraints. I argue that if firms’
policies and characteristics change over time as shown in lifecycle literature, then from
firm characteristics that motivate insider-trading behavior, one should observe some
differences across varying life cycle stages measured using age cohorts. I find that
insiders are net sellers at all life cycle stages of a firm. Furthermore, insiders tend to trade
more in younger firms than in older firms even though they have fewer numbers of
insiders trading. Trading characteristics are generally statistically significant across
cohorts. Overall, insiders appear to predict the correct direction for positive wealth
generation when trading. Specifically, at all lifecycle stages, they appear to sell before
negative CARs, and buy during periods associated with negative CARs that lead to
positive CARs days after insider transactions. The findings on price informativeness
suggest that in general insider purchases enhance price informativeness for firms at
different lifecycle stages, however, this finding holds only for cohort 4 (oldest firms) in
the case of insider sales. The implication of this finding is that regulation should be more
lax towards purchases as compared to sales for firms, except for sales in firms that are
older. Lastly, insider trades are linked with positive investment-cash flow sensitivities for
both insider purchases and insider sales, which generally increase monotonically across
cohorts. This finding is robust to using GMM approach. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2018. / FAU Electronic Theses and Dissertations Collection
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Heterogeneous investors in stock market. / CUHK electronic theses & dissertations collection / ProQuest dissertations and thesesJanuary 2002 (has links)
In the second part of the thesis, we investigate whether ownership structure has influence to long-term stock return. We use a risk adjustment method to make it possible to compare stock return in different terms, therefore, we can use GMM method to estimate the influence of ownership structure in a panel sample set. We find that, insider ownership and institutional ownership are all significantly favorable to long-term stock return. However, the quarterly insider ownership change and quarterly institutional ownership change do not show significant influence. We also use a Fama-MacBeth approach to compare the results from GMM estimation and we find that the results are similar. / This thesis consists of two related parts. In the first part, we develop a method to extract insider ownership information from insider transaction reporting files and by combining it with quarterly institutions holding report data, we obtain quarterly ownership structure for most common stocks listed in CRSP tape. We use ownership structure and quarterly ownership change to analyze how insiders, large institutions and individual investors differ from each other in their holding preference to stock characteristics and trading behavior. We find that, these three kinds of investors have significant difference in holding preference to size, price, monthly turnover, previous 12-months return. They also show significant difference in trading behaviors. Basically, institutions are momentum trader, and are interested in "growth" stocks. Insiders are anti-momentum trader, they sell more when past return is higher and they more focus on "value" stocks. / Zhu, Honghui. / "September 2002." / Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4150. / Supervisors: Jia He; Xiaoqiang Cai. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 94-101). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.
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Essays on strategic trading, asymmetric information, and asset pricingPeterson, David John 05 1900 (has links)
This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric
information. In the first model, a risk averse investor with private information about
dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The
informed investor trades strategically in equilibrium. The second model also involves an infinite
time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive
behavior is exogenously specified; price takers trade shares with a strategic investor
who accounts for the effects of her trades on the stock price. In this case, an endogenous information
asymmetry arises in equilibrium. Closed form equilibria are derived for both models and
implications for price dynamics are explored. While the first model constitutes a new extension
of the multiperiod Kyle model of insider trading, the second model generates more interesting
price dynamics. If the strategic investor manages a large mutual fund, significant risk premia
and price volatility may arise in equilibrium. In fact, if mutual fund participation is sufficiently
widespread, multiple equilibria may exist. The third model extends the multiperiod Kyle model
to a case where the insider observes a noisy signal of the stock's terminal liquidation value. An
equilibrium much like Kyle's is derived. Price tends toward value over time, and stock price
volatility depends on both the drift and volatility of the insider's private signal. Like the Kyle
model, the insider's trading activity leaves no detectable trace in trading volume, expected
returns, or price volatility.
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Analysis of Form 4 SEC electronic delivery system and information content of footnote disclosures /Sidgman, Jurgen. January 2009 (has links)
Thesis (Ph.D.)--University of Nebraska-Lincoln, 2009. / Title from title screen (site viewed October 15, 2009). PDF text: viii, 117 p. : ill. ; 1.43 Mb. UMI publication number: AAT 3355631. Includes bibliographical references. Also available in microfilm and microfiche formats.
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Essays on closed-end funds internal versus external management and insider trading /Allen, William D., January 2006 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 2006. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed July 31, 2007). Includes bibliographical references.
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