Director discretion and insider trading profitability

被引：6

作者：

Foley, Sean ^{[1
]}

Kwan, Amy ^{[1
]}

McInish, Thomas H. ^{[2
]}

Philip, Richard ^{[1
]}

机构：

[1] Univ Sydney, Sydney, NSW 2006, Australia

[2] Univ Memphis, Memphis, TN 38152 USA

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2016年 / 39卷

关键词：

Insider trading; Director discretion; DELAYED-DISCLOSURE; INFORMATION; TRADES; PERFORMANCE;

D O I：

10.1016/j.pacfin.2016.05.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a machine-learning algorithm, we classify over 60,000 director transactions into discretionary and non-discretionary purchases and sales based on the trading motive provided by the insider. We find that discretionary trades by company insiders are more informed than non -discretionary trades. Further, discretionary purchases generate higher abnormal returns (1) for larger purchases, or when the purchase is for (2) the stock of a smaller firm, or (3) a firm with greater information asymmetry. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：28 / 43

页数：16

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