Legal insider trading and market efficiency

被引：58

作者：

Aktas, Nihat ^{[1
,2
]}

de Bodt, Eric ^{[1
,2
,3
]}

Van Oppens, Herve ^{[1
,2
]}

机构：

[1] CORE, B-1348 Louvain, Belgium

[2] IAG Louvain Sch Management, B-1348 Louvain, Belgium

[3] Lille Sch Management, F-59020 Lille, France

来源：

JOURNAL OF BANKING & FINANCE | 2008年 / 32卷 / 07期

关键词：

legal insider trading; market efficiency; order imbalance; price discovery;

D O I：

10.1016/j.jbankfin.2007.11.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Does legal insider trading contribute to market efficiency? Using refinements proposed in the recent microstructure literature, we analyzed the information content of legal insider trading. We used data on 2110 companies subject to 59,244 aggregated daily insider trades between January 1995 and the end of September 1999. Our main finding is that, even though financial markets do not respond strongly in terms of abnormal returns to insider trading activities, the significant change in price sensitivity to relative order imbalance due to abnormal insider trades reveals that price discovery is hastened on insider trading days. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1379 / 1392

页数：14

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