Art der Publikation: Arbeitspapier

Synthesizing Information-driven Insider Trade Signals

Autor(en):

Heckmann, Jens; Jacobs, Heiko; Schwarz, Patrick

Veröffentlichung:

2023

Schlagworte:

Informed trading, insider trading, return predictability, global stock markets

Link zum Volltext:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4537187

Zitation:

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Kurzfassung

Abstract

We propose a simple approach to synthesize presumably information-driven insider trading signals for the cross-section of stocks. We find that the resulting composite strategy can predict returns, predominantly in equal-weighted portfolios, in our global sample. The results indicate that the benefits of our composite strategy reflect a short-term informational advantage of insiders. Finally, cross-country analysis reveals that varying insider trading restrictions between countries have limited explanatory power for the benefits of the composite strategy.