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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

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.

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Date Created
  • 2014-05
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  • Text
  • Machine-readable links