Insider filings as trading signals — Does it pay to be fast?

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-02-01 Epub Date: 2024-11-30 DOI:10.1016/j.frl.2024.106514

Eike Oenschläger, Steffen Möllenhoff

引用次数: 0

Abstract

We test a trading strategy based on SEC Form 4 insider trading filings in the post Sarbanes–Oxley Act period. Using intraday data, we analyze whether a prompt reaction to the announcement would earn abnormal returns. We find positive but lower abnormal percentage returns than in previous studies for short holding periods, but they vanish and even become negative when limiting the tradable dollar amount for each trading signal to a reasonable size. Moreover, we find that the returns in our setup are negatively correlated with stock liquidity, almost negating a potentially profitable and scalable trading strategy even before considering transaction costs.

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内幕文件作为交易信号——速度快值得吗？

在萨班斯-奥克斯利法案颁布后，我们测试了一种基于SEC表格4内幕交易文件的交易策略。利用盘中数据，我们分析对公告的迅速反应是否会获得异常回报。我们发现短期持仓的异常百分比回报比之前的研究为正但较低，但当将每个交易信号的可交易金额限制在合理规模时，它们会消失甚至变为负值。此外，我们发现我们设置的收益与股票流动性呈负相关，甚至在考虑交易成本之前，几乎否定了潜在的盈利和可扩展的交易策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance