Information networks: Evidence from illegal insider trading tips

• 成果类型: Article
• 署名作者: Ahern, Kenneth R.
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.03.009
• 发表日期: 2017
• 页码: 26-47
• 关键词: Illegal insider trading; information networks; social networks

摘要

This paper exploits a novel hand-collected data set to provide a comprehensive analysis of the social relationships that underlie illegal insider trading networks. I find that inside information flows through strong social ties based on family, friends, and geographic proximity. On average, inside tips originate from corporate executives and reach buy-side investors after three links in the network. Inside traders earn prodigious returns of 35% over 21 days, with more central traders earning greater returns, as information conveyed through social networks improves price efficiency. More broadly, this paper provides some of the only direct evidence of person-to-person communication among investors. (C) 2017 Elsevier B.V. All rights reserved.