The relation between aggregate insider transactions and stock market returns

Mustafa Chowdhury, John S. Howe, Ji Chai Lin

研究成果: 雜誌貢獻期刊論文同行評審

27 引文 斯高帕斯(Scopus)

摘要

A vector autoregressive (VAR) model is used to examine the relation between aggregate insider transactions and stock market returns. Consistent with the extant literature, there is some predictive content associated with aggregate insider transactions, but its magnitude is slight. In contrast, market returns have substantial influence on the aggregate purchases and sales of corporate insiders. The findings suggest that: 1) the degree of mispricing observed by insiders is small; 2) very little of the mispricing is associated with unanticipated macroeconomic factors; and 3) investors cannot use aggregate insider transactions to profitably predict future market returns over the following eight weeks.

原文???core.languages.en_GB???
頁(從 - 到)431-437
頁數7
期刊Journal of Financial and Quantitative Analysis
28
發行號3
DOIs
出版狀態已出版 - 9月 1993

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