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Opportunistic insider trading

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  • Tirapat, Sunti
  • Visaltanachoti, Nuttawat
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    Abstract

    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 0.32% in a month after an insider purchase and sell but an opportunistic portfolio yields approximately 2%.

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    Bibliographic Info

    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 21 (2013)
    Issue (Month): 1 ()
    Pages: 1046-1061

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    Handle: RePEc:eee:pacfin:v:21:y:2013:i:1:p:1046-1061

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    Web page: http://www.elsevier.com/locate/pacfin

    Related research

    Keywords: Insiders; Opportunistic-trade; Probability of informed trading; Market efficiency;

    References

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