Do Managers Trade on Public or Private Information? Evidence from Fundamental Valuations
利用会计估值方法，研究荷兰内幕交易样本（1999-2008），发现经理人买入股票后的超额收益既来自私有信息，也来自对公开信息错误定价的利用。
Using accounting-based (residual income) valuations, this study examines the extent to which abnormal returns after insider share trades are explained by private information versus mispricing of public information. For a sample of insider trades in the Netherlands (1999–2008), I find that managers' share purchase decisions are associated with positive future abnormal returns as well as equity undervaluation. Even though undervaluation results in predictable price increases, positive abnormal returns following purchases persist after controlling for fundamental valuations. Thus, this study provides evidence on the sources of managers' personal trading gains and suggests that positive abnormal returns after insider share purchases reflect both private information and managers' responses to market mispricing of public information.