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Market conditions, governance and the information content of insider trades

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  • Harjeet S. Bhabra
  • Ashrafee T. Hossain

Abstract

We examine the information content of Form‐4 filings following extreme market downturns in the pre and post‐Sarbanes–Oxley‐Act (SOX) periods. We find that the announcement period abnormal returns under extreme market conditions are larger and this effect is stronger in the more tighter disclosure rules in the post‐SOX period. Insider rank, corporate governance and proxies for information asymmetry are significantly related to the abnormal returns around the filing date. Overall, our results show that the more timely filing requirement introduced by SOX has been particularly beneficial for investors in firms with higher levels of information asymmetry, poor governance and during market downturns.

Suggested Citation

  • Harjeet S. Bhabra & Ashrafee T. Hossain, 2015. "Market conditions, governance and the information content of insider trades," Review of Financial Economics, John Wiley & Sons, vol. 24(1), pages 1-11, January.
    • Handle: RePEc:wly:revfec:v:24:y:2015:i:1:p:1-11
    DOI: 10.1016/j.rfe.2014.10.001
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    2. Chun-Teck Lye & Tuan-Hock Ng & Kwee-Pheng Lim & Chin-Yee Gan, 2020. "Investor protection and market reaction to unusual market activity replies," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 16(8), pages 2034-2069, July.

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