The dog that did not bark: Insider trading and crashes

• 成果类型: Article
• 署名作者: Marin, Jose M.; Olivier, Jacques P.
• 署名单位: Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01401.x
• 发表日期: 2008
• 页码: 2429-2476
• 关键词: rational-expectations equilibrium; price movements; MARKET CRASHES; returns; bubbles; constraints; INFORMATION; news; crises

摘要

This paper documents that at the individual stock level, insiders' sales peak many months before a large drop in the stock price, while insiders' purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed investors may react more strongly to the absence of insider sales than to their presence (the dog that did not bark effect). We test our hypothesis against competing stories, such as insiders timing their trades to evade prosecution.