Insider Trades and Demand by Institutional and Individual Investors

• 成果类型: Article
• 署名作者: Sias, Richard W.; Whidbee, David A.
• 署名单位: Washington State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp114
• 发表日期: 2010
• 页码: 1544
• 关键词: STOCK RETURNS; investment strategies; MARKET-EFFICIENCY; cross-section; MOVE MARKETS; SMART MONEY; BEHAVIOR; Sentiment; prices; performance

摘要

There is a strong inverse relation between insider trading and institutional demand the same quarter and over the previous year. Our analysis suggests a combination of factors contribute to this relation. First, institutional investors are more likely to provide the liquidity necessary for insiders to trade. Second, insiders are more likely to buy low valuation and low lag return stocks while institutions are attracted to the opposite security characteristics. Last, the results are consistent with the hypothesis that insiders are more likely to view their securities as overvalued (undervalued) following a period when institutions were net buyers (sellers). (JEL G12, G14)