Full metadata
Title
Aggregated Insider Trading Signals and Their Implications
Description
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.
Date Created
2014-05
Contributors
- Kerker, Mackenzie Alan (Author)
- Coles, Jeffrey (Thesis director)
- Mcauley, Daniel (Committee member)
- Licon, Wendell (Committee member)
- Barrett, The Honors College (Contributor)
- Department of Economics (Contributor)
- School of Mathematical and Statistical Sciences (Contributor)
- Department of Finance (Contributor)
Topical Subject
Resource Type
Extent
29 pages
Language
Copyright Statement
In Copyright
Primary Member of
Series
Academic Year 2013-2014
Handle
https://hdl.handle.net/2286/R.I.23672
Level of coding
minimal
Cataloging Standards
System Created
- 2017-10-30 02:50:57
System Modified
- 2021-08-11 04:09:57
- 2 years 8 months ago
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