Aggregate insider trading in the S&P 500 and the predictability of international equity premia

被引：2

作者：

Guettler, Andre ^{[1
]}

Hable, Patrick ^{[2
]}

Launhardt, Patrick ^{[3
]}

Miebs, Felix ^{[4
,5
]}

机构：

[1] Univ Ulm, Ulm & IWH Halle, Halle, Germany

[2] 2iQ Res, Frankfurt am Main, Germany

[3] Univ Ulm, Ulm, Germany

[4] Univ Appl Sci Cologne, Cologne, Germany

[5] Univ Appl Sci, Claudiusstr 1, D-50678 Cologne, Germany

来源：

FINANCE RESEARCH LETTERS | 2023年 / 54卷

关键词：

Equity risk premium; Aggregate insider trading; Predictive regression; Informed traders; INFORMATION-CONTENT; STOCK; TRADES;

D O I：

10.1016/j.frl.2023.103725

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that aggregate insider trading (AIT) in the S&P 500 is a reliable predictor of the U.S. equity premium, while AIT outside the S&P 500 seems to be uninformative. In an international setting, we find that AIT based on S&P 500 insiders predicts international equity premia. Contrary to our U.S. based measure of AIT, we do not find any predictive content of domestic AIT for international equity premia. The informational content of AIT of S&P 500 insiders for U.S. and international equity premia stems from the insiders' ability to forecast cash flow news in-and outside the U.S.

引用

页数：9

共 24 条

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