تغییرات در مالکیت خودی و تغییر در ارزش بازار شرکت

The empirically-observed cross-sectional relation between the level of insider share ownership and the level of firm value has often been interpreted to mean that a change in share ownership can lead to a change in firm value. Such an interpretation has been criticized for ignoring potential endogeneity. In this paper, we perform two sets of tests to circumvent this alleged endogeneity. First, we measure changes in value over the 6-day interval around announcements of insider share purchases and find that the cross-sectional variability in changes in value is described by a curvilinear relation between firm value and insider ownership where the value of the firm first increases, then decreases, as insider share ownership increases. Second, we conduct tests to determine (1) whether the insider purchases are a response to changes in firm characteristics that require a new optimal equilibrium ownership level or (2) whether insiders are purchasing shares to signal that the firm is undervalued. We find no evidence to support these interpretations. Overall, our results are consistent with a causal interpretation of the empirical relation between insider ownership and firm value.

Morck, Shleifer, and Vishny (MSV) (1988), McConnell and Servaes, 1990 and McConnell and Servaes, 1995, Hermalin and Weisbach (1991), Holderness et al. (1999), Anderson and Reeb (2003), Adams and Santos (2006) and others document a statistically significant cross-sectional correlation between the level of share ownership by corporate insiders (usually defined as managers and members of the board) and corporate performance, where performance is measured either as Tobin's Q or return on assets. 1 This observed empirical relationship has often been interpreted to mean that ownership “matters” and that a change in share ownership by insiders can be used to change corporate value. Such interpretations have been criticized for ignoring the potential endogeneity that may arise when external pressures push firms toward optimal ownership structures that jointly optimize over ownership and value.

In this study we examine stock price responses to announcements of share purchases by corporate insiders for a sample of U.S. firms over the interval 1994 through 1999. In particular, we investigate whether the stock price reaction is consistent with the curvilinear relationship between insider ownership and firm value documented by McConnell and Servaes, 1990 and McConnell and Servaes, 1995 and others. One interpretation of this relation is that insider ownership can be used to increase firm value up to a point, after which additional ownership actually reduces firm value. Such an interpretation has been criticized because it ignores the endogeneity that might arise when other factors cause both value and ownership to evolve optimally and in harmony one with one another.