The Information Content of Sudden Insider Silence
研究发现投资者对金融市场中事件的缺失反应不足，有交易规律的内部人在拥有未反映在股价中的私人信息时会策略性地保持沉默，这种沉默能预测未来收益和基本面，利用该策略可获得年化6%至10%的超额收益。
We present evidence of investors underreacting to the absence of events in financial markets. Routine-based insiders strategically choose to be silent when they possess private information not yet reflected in stock prices. Consistent with our hypothesis, insider silence following a routine sell (buy) predicts positive (negative) future returns, as well as fundamentals. The return predictability of insider silence is stronger among firms with a poor information environment and facing higher arbitrage costs, and a large fraction of abnormal returns concentrates on future earnings announcements. A long–short strategy that exploits insiders’ strategic silence behavior generates abnormal returns of 6% to 10% annually.