The Library
Trading strategies of corporate insiders
Tools
Klein, Olga, Maug, Ernst and Schneider, Christoph (2017) Trading strategies of corporate insiders. Journal of Financial Markets , 34 . pp. 48-68. doi:10.1016/j.finmar.2017.04.001 ISSN 1386-4181.
|
PDF
WRAP-trading-strategies-corporate-insiders-Klein-2017.pdf - Accepted Version - Requires a PDF viewer. Download (1196Kb) | Preview |
Official URL: https://doi.org/10.1016/j.finmar.2017.04.001
Abstract
We test two complementary theories of optimal trading strategies by analyzing transaction patterns of corporate insiders: Information-based theories predict that investors trade faster if they compete with others for exploiting the same information. Liquidity-based theories predict the opposite. Our analysis supports the predictions of liquidity-based models: insiders take longer to complete trades when they face competition from other insiders and they trade slower in less liquid markets. Insiders adapt to fluctuations in market liquidity. We identify informed trading using CARs, company news announcements, and insider trading pattern. Our results support the predictions of information-based models for trades classified as informed.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HG Finance | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
||||||||
Library of Congress Subject Headings (LCSH): | Insider trading in securities -- Mathematical models | ||||||||
Journal or Publication Title: | Journal of Financial Markets | ||||||||
Publisher: | Elsevier BV | ||||||||
ISSN: | 1386-4181 | ||||||||
Official Date: | June 2017 | ||||||||
Dates: |
|
||||||||
Volume: | 34 | ||||||||
Page Range: | pp. 48-68 | ||||||||
DOI: | 10.1016/j.finmar.2017.04.001 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 27 February 2017 | ||||||||
Date of first compliant Open Access: | 10 November 2018 | ||||||||
Funder: | Universität Mannheim, Rudolf-von-Bennigsen-Stiftung | ||||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year