| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6220 |
| DP6220 Not published | |
| David Vines; Sven Jari Stehn | |
| 发表日期 | 2007-04-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 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 patterns of insider trading driven by earnings announcement dates, or insiders timing their trades to evade prosecution. |
| 主题 | Financial Economics |
| 关键词 | Crashes Insider trading Rational expectations equilibrium Short-sale constraints Volatility |
| URL | https://cepr.org/publications/dp6220 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535078 |
| 推荐引用方式 GB/T 7714 | David Vines,Sven Jari Stehn. DP6220 Not published. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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