| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6913 |
| 来源ID | Working Paper 6913 |
| The Profits to Insider Trading: A Performance-Evaluation Perspective | |
| Leslie A. Jeng; Andrew Metrick; Richard Zeckhauser | |
| 发表日期 | 1999 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This paper estimates the profits to insiders when they trade their company's stock. We construct a rolling purchase portfolio' that holds all shares purchased by insiders over the previous year and an analogous sale portfolio' that holds all shares sold by insiders over the previous year. We then analyze the returns to these value-weighted portfolios using performance-evaluation methods. This approach allows us to study the returns to insider transactions beginning on the day after their execution, and is free of the statistical difficulties that plague event studies on long-horizon returns. Using a comprehensive sample of reported insider transactions from 1975 - 1996, we find that the purchase portfolio earns abnormal returns of about 40 basis points per month, with about one-sixth of these abnormal returns accruing within the first five days after the initial transaction, and one-third within the first month. The sale portfolio does not earn abnormal returns. Our portfolio-based approach also allows for straightforward decompositions of the purchase and sale portfolios by various characteristics. We find that the abnormal returns to insider trades in small firms are not significantly different from those in large firms, and that top executives do not earn higher abnormal returns than do other insiders. |
| 主题 | Financial Economics ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w6913 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564424 |
| 推荐引用方式 GB/T 7714 | Leslie A. Jeng,Andrew Metrick,Richard Zeckhauser. The Profits to Insider Trading: A Performance-Evaluation Perspective. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6913.pdf（258KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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