Are insider trades informative?

• 成果类型: Article
• 署名作者: Lakonishok, J; Lee, I
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Korea Advanced Institute of Science & Technology (KAIST)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/14.1.79
• 发表日期: 2001
• 页码: 79
• 关键词: MARKET-EFFICIENCY; returns; overreaction; performance; prices; stocks; RISK

摘要

We examine insider trading activities of all companies traded on the NYSE, AMEX, and Nasdaq during the 1975-1995 period. In general, very little market movement is observed when insiders trade and when they report their trades to the SEC. Insiders in aggregate are contrarian investors. However, they predict market movements better than simple contrarian strategies. Insiders also seem to be able to predict cross-sectional stock returns. The result, however, is driven by insider's ability to predict returns in smaller firms. In addition, informativeness of insiders' activities is coming from purchases, while insider selling appears to have no predictive ability.