期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2007
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：Does legal insider trading contribute to market efficiency? Using the refinement
proposed by the recent microstructure literature, we analyze the information content
of legal insider trading. Our sample encompasses 2,110 different companies subject to
59,244 aggregated daily insider trades over the period from January 1995 to the end of
September 1999. Our main findings are the followings. (i) Consistent with previous
literature, financial markets offer a mild response in terms of abnormal returns to
insider trading activities. (ii) The univariate analysis of stock prices on insider net
purchase and net sale days suggests insiders' market timing ability. (iii) Market
liquidity seems to be weaker on insider net purchase days, indicating that net buyer
insiders are on average market liquidity consumers. (iv) Market liquidity seems to be
higher on insider net sale days, indicating that net seller insiders are on average
market liquidity providers. (v) The analysis of the considered information proxy
reveals that insiders enhance market efficiency. Insider trading clearly permits faster
price discovery on insider trading days.
关键词：legal insider trading, market efficiency, order imbalance
