Intraday Behavior of Stock Prices and Trades around Insider Trading

被引：18
|
作者：
Inci, A. Can [1 ]
Lu, Biao [2 ]
Seyhun, H. Nejat [3 ]
机构：
[1] Bryant Univ, Smithfield, RI USA
[2] Tudor Investment Corp, Greenwich, CT USA
[3] Univ Michigan, Ann Arbor, MI 48109 USA
来源：
FINANCIAL MANAGEMENT | 2010年 / 39卷 / 01期
关键词：
LARGE-BLOCK TRANSACTIONS; INFORMATION-CONTENT; EMPIRICAL-ANALYSIS; MARKET; LIQUIDITY; RETURN; VOLUME; ASK; MECHANISMS; EFFICIENCY;
D O I：
10.1111/j.1755-053X.2009.01075.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Our evidence indicates that insiders' trades provide significant new information to market participants and they are incorporated more fully in stock prices as compared to noninsiders' trades. We find that market professionals do not front-run insiders' trades. Both insiders' purchases and sales result in significant contemporaneous and subsequent price impact, while sales by large shareholders result in a contemporaneous stock price decline that is subsequently reversed. The arrival of insider purchases reverse the prevailing negative order imbalances from third party trades and lead to piggy-backing by market professionals resulting in subsequent market purchase orders as well as stock price increases.
引用
收藏
页码：323 / 363
页数：41
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