| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16454 |
| 来源ID | Working Paper 16454 |
| Decoding Inside Information | |
| Lauren Cohen; Christopher Malloy; Lukasz Pomorski | |
| 发表日期 | 2010-10-14 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Using a simple empirical strategy, we decode the information in insider trades. Exploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable "routine" insider trading that is not informative for the future of firms. Stripping away these routine trades, which comprise over half the entire universe of insider trades, leaves a set of information-rich "opportunistic" trades that contains all the predictive power in the insider trading universe. A portfolio strategy that focuses solely on opportunistic insider trades yields value-weight abnormal returns of 82 basis points per month, while the abnormal returns associated with routine traders are essentially zero. Further, opportunistic trades predict future news and events at a firm level, while routine trades do not. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w16454 |
| 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/574128 |
| 推荐引用方式 GB/T 7714 | Lauren Cohen,Christopher Malloy,Lukasz Pomorski. Decoding Inside Information. 2010. |
| 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 | ||
| w16454.pdf（214KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
