The relation between aggregate insider transactions and stock market returns

Mustafa Chowdhury, John S. Howe, Ji-chai Lin

Research output: Journal article publicationJournal articleAcademic researchpeer-review

23 Citations (Scopus)

Abstract

A vector autoregressive (VAR) model is used to examine the relation between aggregate insider transactions and stock market returns. Consistent with the extant literature, there is some predictive content associated with aggregate insider transactions, but its magnitude is slight. In contrast, market returns have substantial influence on the aggregate purchases and sales of corporate insiders. The findings suggest that: 1) the degree of mispricing observed by insiders is small; 2) very little of the mispricing is associated with unanticipated macroeconomic factors; and 3) investors cannot use aggregate insider transactions to profitably predict future market returns over the following eight weeks.
Original languageEnglish
Pages (from-to)431-437
Number of pages7
JournalJournal of Financial and Quantitative Analysis
Volume28
Issue number3
DOIs
Publication statusPublished - 1 Jan 1993
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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