Abnormal Returns from the Common Stock Investments of the U.S. Senate
研究1993-1998年间美国参议员股票投资组合的回报，发现买入组合每月跑赢市场85个基点，卖出组合落后12个基点，表明参议员可能利用信息优势获利。
Abstract The actions of the federal government can have a profound impact on financial markets. As prominent participants in the government decision making process, U.S. Senators are likely to have knowledge of forthcoming government actions before the information becomes public. This could provide them with an informational advantage over other investors. We test for abnormal returns from the common stock investments of members of the U.S. Senate during the period 1993–1998. We document that a portfolio that mimics the purchases of U.S. Senators beats the market by 85 basis points per month, while a portfolio that mimics the sales of Senators lags the market by 12 basis points per month. The large difference in the returns of stocks bought and sold (nearly one percentage point per month) is economically large and reliably positive.