Intraday Behavior of Stock Prices and Trades around Insider Trading
研究发现内幕交易为市场参与者提供了重要新信息，其价格影响比非内幕交易更充分；内幕买入会逆转第三方交易的负订单失衡，并引发市场专业人士的跟单行为。
Our evidence indicates that insiders’ trades provide significant new information to market participants and they are incorporated more fully in stock prices as compared to noninsiders’ trades. We find that market professionals do not front‐run insiders’ trades. Both insiders’ purchases and sales result in significant contemporaneous and subsequent price impact, while sales by large shareholders result in a contemporaneous stock price decline that is subsequently reversed. The arrival of insider purchases reverse the prevailing negative order imbalances from third party trades and lead to piggy‐backing by market professionals resulting in subsequent market purchase orders as well as stock price increases.