Insiders’ Information Advantage: Evidence from Competition with Short Sellers
研究了盈余公告后内部人交易的信息含量，发现萨班斯法案后内部人主要利用短期错误定价获利，而非重大信息的事先知悉。
Abstract We study the information content of corporate insiders’ trades after earnings announcements. We find little evidence that insiders trade on foreknowledge of material information in the post-SOX period. Conditioning on short-selling activity as a proxy for demand of arbitrageurs who exploit short-term mispricing, we show that insiders profit from selling because of their ability to exploit short-term mispricing after earnings releases. In contrast before SOX, insiders do take advantage of foreknowledge of material information while selling. Insider purchases are based on foreknowledge of material information both before and after SOX, but they are rare and have small economic magnitude.