Document Type Master's Dissertation Author Nair, Dion URN etd-03162010-123113 Document Title Director dealings as an investment indicator Degree MBA Department Gordon Institute of Business Science Supervisor
Advisor Name Title Prof M Ward Supervisor Keywords
- investment analysis
Date 2009-04-01 Availability unrestricted Abstract
This research report investigated directors' dealings on the Johannesburg Stock Exchange (JSE) in order to determine if an investor should use director dealings as an investment indicator.
Share data, directorsí dealings, market capitalisation data and beta values for JSE listed shares over the six years from 1 April 2002 until 31 March 2008 was obtained from McGregor BFA (Pty) Ltd. Only the first transaction of the week was analysed, and event day was categorised as day0. Abnormal Returns (AR), Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) were then calculated for day 1 through to day 252. The CAAR was then tested for statistical significance at a 5% confidence level.
The overall CAAR for the 252 holding period was found to be a statistically significant positive 0.31%, with the CAAR for buy transactions being a statistically significant positive 0.33% and the CAAR for sale transactions being a statistically significant positive 0.29% at the 252 holding period. The individual CAARs for the sale and buy transactions fluctuated over the period with the sale transactions consistently outperforming the buy transactions.
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Please cite as follows:
Nair, D 2008, Director dealings as an investment indicator, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-03162010-123113/ >
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