The Sound of Silence: What Do We Know When Insiders Do Not Trade?
研究了内部人沉默期（无交易）的信息含量，发现内部人因诉讼风险在预期坏消息时不交易，沉默后股票回报显著低于净卖出后，尤其在高诉讼风险公司中。
This paper examines the information content of insider silence, periods of no insider trading. We hypothesize that, to avoid litigation risk, rational insiders do not sell own-company shares when they anticipate bad news; neither would they buy, given unfavorable prospects. Thus, they keep silent. By contrast, insiders sell shares when they do not anticipate significant bad news. Future stock returns are significantly lower following insider silence than following insider net selling, especially among firms with higher litigation risk. We examine two quasinatural experiments where new laws result in changes in shareholder litigation risks for insiders. In both cases, with higher shareholder litigation risks, stocks where insiders stay silent earn significantly lower returns than other stocks. This paper was accepted by Karl Diether, finance.