Econ Papers Daily / 期刊论文
综合信息驱动的内幕交易信号
Synthesizing Information-Driven Insider Trade Signals
摘要
We propose a novel approach to synthesize presumably information-driven insider trading signals for the cross section of stocks. We find that the resulting straightforward composite strategy can often forecast returns in a global sample. This predictability is strongest in equal-weighted portfolios, short holding periods, and insider-buying signals, and it improves further with global diversification. Cross-country analysis reveals that varying insider trading restrictions between countries have limited explanatory power for the performance of the composite strategy. Overall, the results are consistent with a short-term informational advantage of insiders, which might be due to the skillful interpretation of non-private news.
中文摘要
我们提出一种新方法，为股票横截面合成推测由信息驱动的内幕交易信号。我们发现，由此得到的直观复合策略在全球样本中往往能够预测收益。这种可预测性在等权重投资组合、短持有期和内幕买入信号中最为显著，并且随着全球分散化而进一步增强。跨国分析表明，各国之间不同的内幕交易限制对复合策略表现的解释力有限。总体而言，结果与内幕人士的短期信息优势相一致，这种优势可能源于对非私有新闻的娴熟解读。