Why Does Aggregate Insider Trading Predict Future Stock Returns?
发现1975至1989年间，公司内部人在公开市场的净买卖总数能解释一年后总体股票收益变动的60%，并检验了这种预测能力源于商业条件变化还是基本面偏离。
This paper documents that, for the period from 1975 to 1989, the aggregate net number of open market purchases and sales by corporate insiders in their own firms predicts up to 60 percent of the variation in one-year-ahead aggregate stock returns. This study also examines whether the ability of aggregate insider trading to predict future stock returns can be attributed to changes in business conditions or movements away from fundamentals. Evidence suggests that both explanations contribute to the predictive ability of aggregate insider trading.