Insider Trading around Dividend Announcements: Theory and Evidence
基于信号模型研究股利公告前后内幕交易的信息作用，发现股利启动公告前的内幕交易对超额收益有显著解释力，且内幕卖出公司的超额收益为负。
ABSTRACT The informational role of strategic insider trading around corporate dividend announcements is studied based on the efficient equilibrium in a signalling model with endogenous insider trading. Insider trading immediately prior to the announcement of dividend initiations has significant explanatory power. For firms with insider selling prior to the dividend initiation announcement, the excess returns are negative and significantly lower than for the remaining firms (with no insider trading or just insider buying) as implied by our model. Another implication is that dividend increases may elicit a positive or negative stock price response depending on the firm's investment opportunities.