Opportunistic insider trading

被引：8

作者：

Tirapat, Sunti ^{[1
]}

Visaltanachoti, Nuttawat ^{[2
]}

机构：

[1] Chulalongkorn Univ, Dept Banking & Finance, Fac Commerce & Accountancy, Bangkok 10330, Thailand

[2] Massey Univ, Sch Econ & Finance, Auckland, New Zealand

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2013年 / 21卷 / 01期

关键词：

Insiders; Opportunistic-trade; Probability of informed trading; Market efficiency; MARKET-EFFICIENCY; INFORMATION; PERFORMANCE; LIQUIDITY; RETURNS; STOCKS; TRADES; WORLD;

D O I：

10.1016/j.pacfin.2012.07.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study proposes a simple framework to disentangle insiders' opportunistic trade from liquidity trade. An opportunistic trade occurs when the probability of informed trading and the speed of convergence to market efficiency increase in a month of an insider transaction. Using Thailand Securities Exchange Commission (SEC) insider filing reports during 2002 to 2008 we find an average insider achieves merely 0.64% and 032% in a month after an insider purchase and sell but an opportunistic portfolio yields approximately 2%. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1046 / 1061

页数：16

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