Download or read book Estimating the Returns to Insider Trading written by Leslie A. Jeng and published by . This book was released on 2008 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses performance-evaluation methodology to estimate the returns earned by insiders when they trade their company's stock. Our methods are designed to estimate the returns earned by insiders themselves and thereby differ from the previous insider-trading literature, which focuses on the informativeness of insider trades for other investors. We find that insider purchases earn abnormal returns of more than 6 percent per year, and insider sales do not earn significant abnormal returns. We compute that the expected costs of insider trading to non-insiders are about 10 cents for a $10,000 transaction.
Download or read book Estimating the Returns to Insider Trading written by Leslie A. Jeng and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimating the Returns of Insider Trading by a Method of Performance Evaluation written by Akhilesh Sreenivasan and published by . This book was released on 2013 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Profits to Insider Trading written by Leslie A. Jeng and published by . This book was released on 2008 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Profits to Insider Trading written by Leslie A. Jeng and published by . This book was released on 1999 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Investment Intelligence from Insider Trading written by H. Nejat Seyhun and published by MIT Press. This book was released on 2000-02-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn how to profit from information about insider trading. The term insider trading refers to the stock transactions of the officers, directors, and large shareholders of a firm. Many investors believe that corporate insiders, informed about their firms' prospects, buy and sell their own firm's stock at favorable times, reaping significant profits. Given the extra costs and risks of an active trading strategy, the key question for stock market investors is whether the publicly available insider-trading information can help them to outperform a simple passive index fund. Basing his insights on an exhaustive data set that captures information on all reported insider trading in all publicly held firms over the past twenty-one years—over one million transactions!—H. Nejat Seyhun shows how investors can use insider information to their advantage. He documents the magnitude and duration of the stock price movements following insider trading, determinants of insiders' profits, and the risks associated with imitating insider trading. He looks at the likely performance of individual firms and of the overall stock market, and compares the value of what one can learn from insider trading with commonly used measures of value such as price-earnings ratio, book-to-market ratio, and dividend yield.
Download or read book Information Trading and Product Market Interactions written by Heather Elise Tookes and published by . This book was released on 2003 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Does Insider Trading Raise Market Volatility written by Mr.Julan Du and published by International Monetary Fund. This book was released on 2003-03-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitively significant when compared with the effect of economic fundamentals.
Download or read book Why Does Aggregate Insider Trading Predict Future Stock Returns written by Hasan Nejat Seyhun and published by . This book was released on 1991 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Insider Trading written by William K. S. Wang and published by . This book was released on 2005 with total page 1018 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to avoiding insider trading liability. It gives you the legal knowledge and practical tools you need to determine what's legal, what's not, and what you can do to minimise liability exposure.
Download or read book A Supervisory Perspective on Insider Trading written by Marcello Minenna and published by . This book was released on 2012 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The enforcement of the ban on insider trading requires an evaluation of the disgorgement, i.e. the capital gain of the insider trader who takes advantage of the exploitation of preferential information. An initial step forward on this topic has been taken by the SEC, the United States Securities and Exchange Commission, which has developed a quantitative procedure based on the event-study methodology. This paper develops an adaptation of this procedure for the Italian market and explains the limits of this methodology in the analysis of the insider-trading phenomenon. In particular, it emerges that the econometric approach cannot be applied to all insider-trading schemes. In fact, in order to work out statistically significant results, it relies on a series of assumptions such as the existence of a robust reference market index or the availability of long time series data. For this reason, a new procedure for computing the economic value of the information exploited by the insider, based on a probabilistic approach, has also been developed. This methodology overcomes the issues connected to the event-study procedure and can be applied by construction to all insider-trading schemes and not only to the simplest ones. In fact, the model parameters are defined by using the trading strategy of the single insider; thus, if insider trading takes place, the model is able to offer a disgorgement computation; hence, by hypotheses of its construction, it is able to detect the difference between insiders and followers. Both procedures have been adopted by CONSOB, the Italian Securities and Exchange Commission, and have been presented to the Tribunal of Milan.
Download or read book Insider Trading and the Stock Market written by Henry G. Manne and published by . This book was released on 1966 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book private information market efficiency and insider trading a rational expectations approach written by thomas j. george and h. ncjat scyhun and published by . This book was released on 1991 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Enforcement Manual written by United States. Securities and Exchange Commission. Division of Enforcement and published by . This book was released on 2008 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Private Information Market Efficiency and Insider Trading written by Thomas John George and published by . This book was released on 1991 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Supervisory Prospective on Insider Trading Estimating the Value of the Information written by Marcello Minenna and published by . This book was released on 2002 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Abnormal Returns in the Vicinity of Insider Transactions written by Marco Klinge and published by . This book was released on 2008 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several studies focusing on the US and the UK have shown, that abnormal returns tend to be negative on the days before insider purchases, positive on the transactions days and on the following days. For insider sales it is the other way around, but the absolute effects are smaller. Around the announcement days similar effects exist. In many cases more transactions and/or announcements take place on subsequent days, possibly having different directions and/or involving different buyers/sellers. We argue that because of the different signs of the abnormal returns before and after day 0, estimates based on all available observations could be biased. This is the first study to our knowledge which proposes and uses non-overlapping observations in this context.We confirm the above findings using German data for the two year period following the introduction of insider regulations in Germany in July 2002. Like in the UK, the effects around the announcement date are considerably larger than in the US. Unlike in the US and the UK, the effects are much more pronounced around sales. Due to our use of non-overlapping data, we can show these effects much more clearly than prior studies of the German market.In our cross-sectional regressions, net trading intensity on the announcement day, a variable suggested by Lakonishok/Lee (2001) is the most important explanatory vari-able for the cumulative abnormal returns from day -1 to day +1. When we look at the days 0 to +5, the explanatory power of the net trading intensity (NI) is considerably smaller. We conclude that diversification and liquidity motives together with price pres-sure effects are mainly responsible for the results.
