Abnormal trading behavior of specific types of shareholders before US firm bankruptcy and its implications for firm bankruptcy prediction
研究了美国公司破产前内部人和特定机构投资者的异常交易行为，发现这些行为能提升破产预测模型的准确性，对投资者和监管者识别破产风险有参考价值。
Abstract This paper examines the trading behavior of US corporate insiders and certain groups of institutional investors (short‐term, transient, top‐performing, and those with fiduciary responsibility) in the eight quarters leading up to a US firm bankruptcy filing. Using a matched sample based on year, industry, and a probability of future bankruptcy model, we find that US corporate insiders display abnormal reduced net trading activity in the quarters before bankruptcy, with corporate insiders ‘going quiet’ immediately preceding a US bankruptcy. In contrast, we find that our identified types of institutional shareholders display abnormal selling activity several quarters before a US bankruptcy. We then use this information to enhance the bankruptcy‐predictive capabilities of recent machine‐learning techniques such as gradient boosting, as well as the probability of future bankruptcy model. We find that the variables measuring the absolute value of net purchases by US corporate insiders in the two quarters prior to bankruptcy, along with the changes in ownership by specific types of institutional shareholders, improve the out‐of‐sample predictive capabilities of our two different bankruptcy prediction models. Overall, we find that specific types of shareholder display abnormal trading in the quarters preceding US firm bankruptcy, and such information improves the out‐of‐sample accuracy of firm bankruptcy prediction models.