WHY DOES AGGREGATE INSIDER TRADING PREDICT FUTURE STOCK RETURNS

• 成果类型: Article
• 署名作者: SEYHUN, HN
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.2307/2118390
• 发表日期: 1992
• 页码: 1303-1331
• 关键词: market; INFORMATION; overreaction; inflation; RISK

摘要

This paper documents that, for the period from 1975 to 1989, the aggregate net number of open market purchases and sales by corporate insiders in their own firms predicts up to 60 percent of the variation in one-year-ahead aggregate stock returns. This study also examines whether the ability of aggregate insider trading to predict future stock returns can be attributed to changes in business conditions or movements away from fundamentals. Evidence suggests that both explanations contribute to the predictive ability of aggregate insider trading.