The January Effect and Aggregate Insider Trading
通过分析总体内部人交易的季节模式，检验一月效应源于年末需求变化还是对知情交易风险的补偿，帮助理解股票收益的季节性规律。
ABSTRACT This study investigates the seasonal pattern of aggregate insider trading to help distinguish between two competing explanations for the seasonal pattern of security returns. The first potential explanation examined is that the January effect arises from predictable changes in turn‐of‐the‐year demand for securities. The second potential explanation examined is that the January effect represents compensation for the higher risk of trading against informed traders at the turn of the year.