The Dog That Did Not Bark: Insider Trading and Crashes
发现个股内幕交易者的卖出行为在股价大跌前数月达到高峰，而买入行为仅在股价大涨前一个月达到高峰，并从交易约束和信息不对称角度提供理论解释，提出理性不知情投资者对“没有内幕卖出”的反应可能比“有内幕卖出”更强烈。
ABSTRACT This paper documents that at the individual stock level, insiders' sales peak many months before a large drop in the stock price, while insiders' purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed investors may react more strongly to the absence of insider sales than to their presence (the “dog that did not bark” effect). We test our hypothesis against competing stories, such as insiders timing their trades to evade prosecution.