Essays on Fundamental Analysis

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Accountancy

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Donelson, Dain C.

Contributors dc:contributor

• Sougiannis, Theodore

• Business Administration, Accounting

Language dc:language

eng

Identifier

(MiAaPQ)AAI3290221

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/87162