Short‐run Returns around the Trades of Corporate Insiders on the London Stock Exchange
研究伦敦证券交易所公司董事交易前后几天的异常回报模式，发现董事存在短期择时行为，中等规模交易比大额交易更能预测短期回报，且考虑交易成本后异常回报几乎消失。
Previous work examined the long‐run profitability of strategies mimicking the trades company directors in the shares of their own company, as a way of testing for market efficiency. The current paper examines patterns in abnormal returns in the days around these trades on the London Stock Exchange. We find movements in returns that are consistent with directors engaging in short‐term market timing. We also report that some types of trades have superior predictive content over future returns. In particular, medium‐sized trades are more informative for short‐term returns than large ones, consistent with Barclay and Warner’s (1993) ‘stealth trading’ hypothesis whereby informed traders avoid trading in blocks. Another contribution of this study is to properly adjust the abnormal return estimates for microstructure (spread) transactions costs using daily bid‐ask spread data. On a net basis, we find that abnormal returns all but disappear.