The Information Content of Aggregate Insider Trading
This study investigates the information content of aggregate insider trading by analyzing ap proximately sixty thousand open-market sales and purchases by insider s from January 1975 to October 1981. The paper first examines the rel ation between market movements and aggregate insider trading. The evi dence suggests that insiders cannot always distinguish between the ef fects of firm-specific and economywide factors. The paper also invest igates whether publicly-available information about aggregate insider trading activity can help predict future stock-market returns and pr ovide market analysts with market timing ability. Copyright 1988 by the University of Chicago.
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