Insider Trading-Strategy based on the Information Content of Form 4 Disclosure
Date Issued
2014
Date
2014
Author(s)
Kuo, Cheng-Chuan
Abstract
This study examines the effects of the information content of insider trading on long-run future returns by defining several insider trading measures. We find that (1) the characteristics of the firms that engage in insider trading are similar to those in past empirical researches, (2) the predictive power of the aggregate insider purchases relents, (3) the predictive power on returns of smaller firms of insider trading measures we define is diminishing while that of larger firms is improving, (4) in general, the predictive power of insider trading measures we define are diminishing as time moves forward. We attribute these phenomena to greater market transparency, better enforcement of law and market efficiency.
Keywords: Insider Trading; Information Content; Market Efficiency; Market Learning
Subjects
內部人交易
訊息內涵
市場效率
市場學習
Type
thesis
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ntu-103-R01723054-1.pdf
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