Information Content of Insider Trades before and after the Sarbanes-Oxley Act
研究了萨班斯-奥克斯利法案（SOX）第403条要求更及时披露内幕交易后，内幕买入公告的异常回报和交易量显著增加，而内幕卖出在控制计划交易等因素后也与SOX呈负相关，表明新规下的及时披露有助于证券定价。
ABSTRACT: This study examines the information content of Form 4 filings under the more timely disclosure regime introduced by Section 403 of the Sarbanes-Oxley Act of 2002 (SOX). Abnormal returns and trading volumes around filings of insider stock purchases are significantly greater after SOX than before. Abnormal trading volumes around filings of insider sales are also greater post-SOX, on average, but stock returns are not more negative. However, once controlling for pre-planned transactions, reporting lag, litigation risk, and news following insider trades, I find a negative association between returns around filings of insider sales and SOX. Overall, the evidence suggests that the prompt public disclosures about insider transactions mandated by the new rule are relevant to the pricing of securities. The results are also consistent with SOX and regulatory actions reducing the incentives to sell ahead of privately known negative news.