An Empirical Analysis of Illegal Insider Trading
利用美国证券交易委员会未公开的非法内幕交易数据，发现股票市场能察觉内幕交易并将其信息反映在股价中，内幕交易日的异常回报平均为3%，且收购前股价上涨的近一半发生在内幕交易日。
ABSTRACT Whether insider trading affects stock prices is central to both the current debate over whether insider trading is harmful or pervasive, and to the broader public policy issue of how best to regulate securities markets. Using previously unexplored data on illegal insider trading from the Securities and Exchange Commission, this paper finds that the stock market detects the possibility of informed trading and impounds this information into the stock price. Specifically, the abnormal return on an insider trading day averages 3%, and almost half of the pre‐announcement stock price run‐up observed before takeovers occurs on insider trading days. Both the amount traded by the insider and additional trade‐specific characteristics lead to the market's recognition of the informed trading.