Is “Not Trading” Informative? Evidence from Corporate Insiders’ Portfolios
研究发现，当内部人在一家公司交易时，其未交易的股票（如未卖出的股票）能提供价值相关信息，基于此构建的交易策略年化超额收益可达4.8%。
Some individuals, e.g., those holding multiple directorships, are insiders at multiple firms. When they execute an insider trade at one firm, they may reveal information about the value of all—both the traded insider position and not-traded insider position(s)—the securities held in their “insider portfolio.” We find that insider “not-sold” stocks outperform “not-bought” stocks. Implementable trading strategies that buy not-sold stocks following the disclosure of a sale earn alphas up to 4.8% per year after trading costs. The results suggest that even insider sales that are motivated by liquidity and diversification needs can provide value-relevant information about insider holdings.