115期主题：Insider Trading(1)

115期

选文：陆堇编辑：王月峥审核：陆堇

Opportunism as a Firm and Managerial Trait: Predicting Insider Trading Profits and Misconduct
An Empirical Analysis of Illegal Insider Trading
Insider Trading: Should It Be Prohibited?
Commitment to Social Good and Insider Trading

1. Opportunism as a Firm and Managerial Trait: Predicting Insider Trading Profits and Misconduct
Journal of Financial Economics, 2017, 126(3): 490-515

Usman Ali , MIG Capital
David A. Hirshleifer , University of California

AbstractThese slides summarize a paper on opportunism by corporate insiders. We show that opportunistic insiders can be identified through the profitability of their trades prior to quarterly earnings announcements (QEAs), and that opportunistic trading is associated with various kinds of firm/managerial misconduct. A value-weighted trading strategy based on (not necessarily pre-QEA) trades of opportunistic insiders earns monthly 4-factor alphas of over 1% — much higher than in past insider trading literature and substantial/significant even on the short side. Firms with opportunistic insiders have higher levels of earnings management, restatements, SEC enforcement actions, shareholder litigation, and executive compensation. These findings suggest that opportunism is a domain-general trait.

原文链接：
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3178347

2. An Empirical Analysis of Illegal Insider Trading
Journal of Finance, 1992, 47(5): 1661-1699

LISA K. MEULBROEK , Harvard University

AbstractWhether insider trading affects stock prices is central to both the current debate over whether insider trading is harmful or pervasive, and to the broader public policy issue of how best to regulate securities markets. Using previously unexplored data on illegal insider trading from the Securities and Exchange Commission, this paper finds that the stock market detects the possibility of informed trading and impounds this information into the stock price. Specifically, the abnormal return on an insider trading day averages 3%, and almost half of the pre‐announcement stock price run‐up observed before takeovers occurs on insider trading days. Both the amount traded by the insider and additional trade‐specific characteristics lead to the market's recognition of the informed trading.

原文链接：
https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1992.tb04679.x

3. Insider Trading: Should It Be Prohibited?
Journal of Political Economy, 1992, 100: 859-887

Hayne E. Leland , University of California, Berkeley

AbstractInsider trading moves forward the resolution of uncertainty. Using a rational expectations model with endogenous investment level, the author shows that, when insider trading is permitted, (1) stock prices better reflect information and will be higher on average, (2) expected real investment will rise, (3) markets are less liquid, (4) owners of investment projects and insiders will benefit, and (5) outside investors and liquidity traders will hurt. Total welfare may increase or decrease depending on the economic environment. Factors that favor the prohibition of insider trading are identified.

原文链接：
https://www.journals.uchicago.edu/doi/10.1086/261843

4. Commitment to Social Good and Insider Trading
Journal of Accounting and Economics, 2014, 57(2–3): 149-175

Feng Gao , University of Illinois – Chicago
Ling Lei Lisic , George Mason University
Ivy Xiying Zhang , University of Minnesota

AbstractA firms investment in corporate social responsibility (CSR) builds a positive image of caring for social good and imposes additional costs on executives informed trading, which is widely perceived self-serving. We thus expect executives of CSR-conscious firms to be more likely to refrain from informed trading. We find that executives of CSR-conscious firms profit significantly less from insider trades and are less likely to trade prior to future news than executives of non-CSR-conscious firms. The negative association between CSR and insider trading profits is more pronounced when executives personal interests are more aligned with the interests of the firm.

原文链接：
https://www.sciencedirect.com/science/article/pii/S0165410114000123#!

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