2024-03-29T06:17:08Zhttps://keep.lib.asu.edu/oai/requestoai:keep.lib.asu.edu:node-1368032021-08-11T21:09:57Zoai_pmh:all136803
https://hdl.handle.net/2286/R.I.23672
http://rightsstatements.org/vocab/InC/1.0/
2014-05
29 pages
eng
Kerker, Mackenzie Alan
Coles, Jeffrey
Mcauley, Daniel
Licon, Wendell
Barrett, The Honors College
Department of Economics
School of Mathematical and Statistical Sciences
Department of Finance
Text
This paper provides evidence through an event study, portfolio simulation, and regression analysis that insider trading, when appropriately aggregated, has predictive power for abnormal risk-adjusted returns on some country and sector exchange traded funds (ETFs). I examine ETFs because of their broad scope and liquidity. ETF markets are relatively efficient and, thus, the effects I document are unlikely to appear in ETF markets. My evidence that aggregated insider trading predicts abnormal returns in some ETFs suggests that aggregated insider trading is likely to have predictive power for financial assets traded in less efficient markets. My analysis depends on specialized insider trading data covering 88 countries is generously provided by 2iQ.
Finance
Market Efficiency
Aggregated Insider Trading
Aggregated Insider Trading Signals and Their Implications