The Relation between Aggregate Insider Transactions and Stock Market Returns
用向量自回归模型分析内部人总体交易与股市回报的关系，发现内部人交易对市场预测能力微弱，而市场回报显著影响内部人买卖行为。
A vector autoregressive (VAR) model is used to examine the relation between aggregate insider transactions and stock market returns. Consistent with the extant literature, there is some predictive content associated with aggregate insider transactions, but its magnitude is slight. In contrast, market returns have substantial influence on the aggregate purchases and sales of corporate insiders. The findings suggest that: 1) the degree of mispricing observed by insiders is small; 2) very little of the mispricing is associated with unanticipated macroeconomic factors; and 3) investors cannot use aggregate insider transactions to profitably predict future market returns over the following eight weeks.