PERFORMANCE OF STOCKS RECOMMENDED ON THE BASIS OF INSIDER TRADING ACTIVITY
研究了投资者仅依据《共识信息》月刊推荐的股票能否获得超额收益，发现推荐股票在推荐前四个月有正超额收益，持有十二个月可获得适度超额收益。
ABSTRACT The purpose of this paper is to assess whether abnormal returns could have been earned by an investor who concentrated solely on the stocks listed in the Consensus of Information (COI) monthly newsletters. Using residual‐based techniques, the authors find that (1) stocks listed in the COI newsletters were characterized by excess positive returns over the four months immediately preceding listing and that (2) users of the COI's recommendations could have earned moderate excess returns by systematically acquiring shares of these companies and holding them over a twelve‐month period starting in the month the newsletter is published or one month hence. Given that the recommendations yielding the largest abnormal returns to noninsiders were based on a mixture of open market purchases and exercised stock options, definitive conclusions with respect to the predictive implications of exercised stock options cannot be drawn.