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Title:Essays on Fundamental Analysis
Author(s):Donelson, Dain C.
Doctoral Committee Chair(s):Sougiannis, Theodore
Department / Program:Accountancy
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Business Administration, Accounting
Abstract:In the second chapter, I use a fundamental analysis strategy based upon common operating performance metrics to distinguish informative insider trades from noise trades. Insiders who trade consistently with these accounting fundamentals earn higher abnormal returns than the abnormal returns normally earned by insiders or those from the fundamental analysis strategy. A trading strategy based on the combination of publicly available insider trading and accounting data earns annual abnormal returns of approximately 15.1% after controlling for market, size, book-to-market and momentum factors. This trading strategy earns positive returns in each year of the study. These results are consistent with the selected set of insider trades being particularly informative with respect to mispricing.
Issue Date:2007
Description:86 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2007.
Other Identifier(s):(MiAaPQ)AAI3290221
Date Available in IDEALS:2015-09-28
Date Deposited:2007

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