Overreaction and Insider Trading: Evidence from Growth and Value Portfolios
研究发现内幕交易在成长股和价值股之间并非随机分布，内幕买入在股票从成长型转为价值型时增加，且与股票回报率负相关，支持过度反应假说。
ABSTRACT Insider transactions are not random across growth and value stocks. We find that insider buying climbs as stocks change from growth to value categories. Insider buying also is greater after low stock returns, and lower after high stock returns. These findings are consistent with a version of overreaction which says that prices of value stocks tend to lie below fundamental values, and prices of growth stocks tend to lie above fundamental values.