Does aggregate insider trading predict stock returns in China?

被引：5

作者：

He, Qing ^{[1
,2
]}

Cheng, Bingqian ^{[3
]}

Wen, Jing ^{[4
]}

机构：

[1] Renmin Univ China, China Financial Policy Res Ctr, Beijing, Peoples R China

[2] Renmin Univ China, Sch Finance, Beijing, Peoples R China

[3] Tsinghua Univ, Sch Econ & Management, Beijing, Peoples R China

[4] Columbia Univ, Columbia Business Sch, New York, NY USA

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2019年 / 24卷 / 02期

关键词：

corporate governance; China; insider transactions; market return; ownership concentration; state-owned enterprise; CORPORATE GOVERNANCE; INFORMATION-CONTENT; OWNERSHIP; MARKETS; COSTS; FIRM; LAW;

D O I：

10.1002/ijfe.1699

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the information content of aggregate insiders' transactions in their own firms in China by analysing approximately 28,000 open market transactions from July 2007 to December 2014. The evidence suggests that publicly available information about aggregate insiders' transactions cannot predict future stock returns. However, the ability of aggregate insiders' transactions to predict future stock returns is positively associated with the strength of corporate governance. Results from vector autoregressive models and examination of profitable strategies corroborate these findings.

引用

页码：922 / 942

页数：21

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