Quasi‐Indexer Ownership and Insider Trading: Evidence from Russell Index Reconstitutions*
利用罗素1000/2000指数边界附近的准指数基金持股外生变化，发现准指数基金持股增加会减少内幕交易（买卖均减少）并降低卖出交易的盈利性，且效果集中在更可能基于私有信息的卖出交易上。
ABSTRACT Understanding the association between quasi‐indexer ownership and insider trading is important given the externalities that insider trading can impose on shareholders, the importance of quasi‐indexers in the capital markets, and their mixed monitoring incentives. The prior literature has produced an inconsistent set of results regarding this association. These results are difficult to interpret because the association between them is likely endogenous, and prior studies have not employed effective identification strategies to address this issue. In this study, we examine the effects of quasi‐indexer institutional ownership on insider trading using the plausibly exogenous discontinuity in quasi‐indexer ownership around the Russell 1000/2000 index cutoff. Using both regression discontinuity and instrumental variable research designs, we find higher quasi‐indexer ownership leads to less insider trading (both buys and sells) and less profitable sell trades. The effects for sells are concentrated among insider trades that, ex ante, are more likely to be based on private information. Our evidence on the profitability of buys is mixed. In addition, we find firms with higher quasi‐indexer ownership are more likely to have and/or more strictly enforce blackout policies. Overall, our results suggest that quasi‐indexers can reduce the agency costs associated with insider trading through their direct and indirect monitoring activities.