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Intraday Behavior of Stock Prices and Trades around Insider Trading

  • A. Can Inci
  • Biao Lu
  • H. Nejat Seyhun
Registered author(s):

    "Our evidence indicates that insiders' trades provide significant new information to market participants and they are incorporated more fully in stock prices as compared to noninsiders' trades. We find that market professionals do not front-run insiders' trades. Both insiders' purchases and sales result in significant contemporaneous and subsequent price impact, while sales by large shareholders result in a contemporaneous stock price decline that is subsequently reversed. The arrival of insider purchases reverse the prevailing negative order imbalances from third party trades and lead to piggy-backing by market professionals resulting in subsequent market purchase orders as well as stock price increases." Copyright (c) 2010 Financial Management Association International.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1755-053X.2009.01075.x
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    Article provided by Financial Management Association International in its journal Financial Management.

    Volume (Year): 39 (2010)
    Issue (Month): 1 (03)
    Pages: 323-363

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    Handle: RePEc:bla:finmgt:v:39:y:2010:i:1:p:323-363
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