Title page for ETD etd-03162010-123113

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
Advisor Name Title
Prof M Ward Supervisor
  • investment analysis
Date 2009-04-01
Availability unrestricted

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.

© 2008, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria

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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