To Trade or Not to Trade: The Strategic Trading of Insiders around News Announcements
研究了内部人在新闻公告前短期交易的决策权衡，发现买入受价格影响和监管风险共同驱动，卖出则主要受监管和声誉风险抑制。
Abstract: We argue that insiders' decisions to trade in short windows before news announcements are likely to result from a trade‐off between the incentives to capitalize on the foreknowledge of the disclosure and the risk of regulatory scrutiny and reputation loss. We provide evidence that the decision of insiders to buy is driven by this trade‐off. We show that insiders strategically choose the amount of shares bought ahead of good news announcements, as they increase their purchases when the price impact of the news goes up, but the amount of shares purchased levels off as the news becomes extreme. In contrast, their sell trades are primarily influenced by the deterring effect of the regulatory and reputation risks, as the probability of their sell trades decreases significantly with the price impact of the forthcoming bad news. To further support our arguments on the importance of incentives and disincentives to trade, we show that the strategic trading is mainly observed in the most price‐sensitive groups of news announcements, and is clearly pronounced for best informed executives (CEOs), and that the trading patterns change with changes in regulations, and insiders with higher reputational risk limit their trading ahead of bad news.