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Opportunistic insider trading

  • Tirapat, Sunti
  • Visaltanachoti, Nuttawat

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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File URL: http://www.sciencedirect.com/science/article/pii/S0927538X1200056X
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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
DOI: 10.1016/j.pacfin.2012.07.006
Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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