Estimating the Returns to Insider Trading: A Performance-Evaluation Perspective
用绩效评估方法估算公司内部人买卖自家股票获得的回报，发现内部人买入每年有超过6%的超常收益，卖出则没有显著收益，并计算了非内部人的预期交易成本。
This paper uses performance-evaluation methodology to estimate the returns earned by insiders when they trade their company's stock. Our methods are designed to estimate the returns earned by insiders themselves and thereby differ from the previous insider-trading literature, which focuses on the informativeness of insider trades for other investors. We find that insider purchases earn abnormal returns of more than 6% per year, and insider sales do not earn significant abnormal returns. We compute that the expected costs of insider trading to noninsiders are about 10 cents for a $10, 000 transaction. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.