Opportunistic insider trading

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.