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- W2053640051 abstract "A vector autoregressive (VAR) model is used to examine the relation between aggregate insider transactions and stock market returns. Consistent with the extant literature, there is some predictive content associated with aggregate insider transactions, but its magnitude is slight. In contrast, market returns have substantial influence on the aggregate purchases and sales of corporate insiders. The findings suggest that: 1) the degree of mispricing observed by insiders is small; 2) very little of the mispricing is associated with unanticipated macroeconomic factors; and 3) investors cannot use aggregate insider transactions to profitably predict future market returns over the following eight weeks." @default.
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- W2053640051 date "1993-09-01" @default.
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- W2053640051 title "The Relation between Aggregate Insider Transactions and Stock Market Returns" @default.
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- W2053640051 doi "https://doi.org/10.2307/2331423" @default.
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