Time‐Varying Liquidity Trading, Private Information and Insider Trading
研究了内幕交易者在计划内和计划外公司公告前如何利用私有信息，发现流动性交易越多时内幕交易倾向越高，且计划外公告前的买入更赚钱。
Abstract This paper investigates the insider trading before scheduled versus unscheduled corporate announcements to explore how corporate insiders utilise their private information in response to the time‐varying liquidity trading. Using a comprehensive insider trading database, we show that: (1) the insider's propensity to trade increases in the amount of liquidity trading before both the scheduled and unscheduled announcements; (2) insiders buy (sell) more before positive (negative) announcements; and (3) insider purchases are more profitable before unscheduled announcements than before scheduled ones. They suggest that insiders time their trades around scheduled and unscheduled announcements to exploit the varying extent of liquidity trading.