文档介绍：Are Insider Trades Informative?
Josef Lakonishok
University of Illinois at Urbana-Champaign and NBER
Inmoo Lee
Korea Advanced Institute of Science and Technology
We examine insider trading activities of panies traded on the NYSE, AMEX,
and Nasdaq during the 1975–1995 period. In general, very little market movement is
observed when insiders trade and when they report their trades to the SEC. Insiders in
aggregate are contrarian investors. However, they predict market movements better than
simple contrarian strategies. Insiders also seem to be able to predict cross-sectional stock
returns. The result, however, is driven by insider’s ability to predict returns in smaller
firms. In addition, informativeness of insiders’ activities ing from purchases, while
insider selling appears to have no predictive ability.
There is a substantial demand for insider trading information. For example,
the Wall Street Journal and Barron’s report large insider transactions every
week. Money managers have direct access to insiders’ activities through sys-
tems such as Bloomberg. There are data vendors, such as CDA/, who
use insiders’ trades to predict returns, primarily for institutional investors.
CDA/ also publishes a newsletter, “Insiders’ Chronicle,” geared to
individual investors, that offers an abridged list of insider transactions along
mentaries and mendations.
The reason for all the attention that goes to insiders’ activities is best
summarized in a recent article in Individual Investor (Feb. 1998, p. 54):
“Company executives and directors know their business more intimately than
any Wall Street analyst ever would. They know when a new product is flying
out the door, when inventories are piling up, whether profit margins are
expanding or whether production costs are rising. . .You always hear about
We would like to thank two anonymous referees, Carr Bettis, Louis Chan, Mike Fishman (the editor), Dave
Ikenberry, Narasimhan Jegadeesh, Jason Karceski