Investment Intelligence from Insider Trading
Investment Intelligence from Insider Trading
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DOI：
10.5860/choice.36-4599
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发表时间：
1999
影响因子：
--
通讯作者：
E. Miller
中科院分区：
文献类型：
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作者：
E. Miller
最近有一本书分析了一个关于向美国证券交易委员会报告的“内幕交易”的大型数据库，对投资者和市场分析师从内幕交易中可以学到什么提供了有价值的见解。在这篇文章中，报告了这本书的结果，并添加了关于其含义的评论。关键词：内幕交易，投资者市场指标，H。内部人市场行为，统计研究预测证券市场。H. Neyjats Seyhun的Investment Intelligence from Insider Trading（MIT Press，1998）报告了一项关于1973年至1994年内幕交易统计数据预测美国股票回报能力的大规模研究。它应该是股票市场投资者和金融经济学家都感兴趣的。1934年的联邦证券交易法从两个方面定义了“内幕人士”，其中一个方面说内幕人士是公司高层管理人员、董事会成员或拥有公司10%以上股权的股东。这类内幕人士被禁止从持有不到六个月的任何头寸中获益，任何拥有重要的非公开信息（“内幕人士”的另一种定义）的人在拥有这些信息的情况下被禁止交易公司的证券。为了执行这些规定，第一类内幕人士必须在本月收盘后10天内向证券交易委员会报告他们作为内幕人士的股票交易，然后由证券交易委员会公布。Seyhun将这些数据与其他股票市场数据相结合，还报告了投资规则的盈利能力，包括市盈率，账面市值比，收购和价格趋势等指标。在Seyhun的研究中，一家特定公司的内幕交易首先按月份进行汇总，其中内部人士购买的股票多于他们出售的股票的月份被定义为买入月份，而他们出售的股票多于他们购买的股票的月份被定义为卖出月份。这导致了144，884个买入月和164，309个卖出月，使其成为一个大型数据库。出售的过剩可能是因为内部人士包括许多创办公司（或早期进入公司）的人，他们后来往往是净卖家。由于大多数内部人士的大部分财富都在他们的公司里，标准的财务建议是分散投资（这当然是法律的）。应该指出的是，许多内幕交易都是为了多样化和个人流动性等合法目的。内部人士根据公开信息进行交易也是法律的（如果当时他们没有内部重大信息）。当然，考虑到他们的集中地位和保持公司最新动态的动力，内部人士可能能够更好地评估和使用公共信息。虽然内部人士根据重大非公开信息进行交易是非法的，但避免根据重大非公开信息进行交易是法律的，Seyhun没有提出这一点。举个例子，假设一个人在一家公司中拥有重要地位（可能是因为他是创始人，或者是因为他行使了许多期权）。由于在公司之外几乎没有投资，他决定分散投资，每季度出售一部分，时间安排得很好，这样他就不会在有重要的非公开信息（比如即将发布的异常糟糕的收益公告）时出售。这是一个非常明智的，理性的政策，大多数财务规划师都会赞成，现在假设这位内部人士收到非公开信息，公司本季度的收益将异常好（甚至公司正在谈判以大幅溢价收购）。知情人在法律上可以自由取消他计划中的（但可能没有透露）销售，在价格可能更高的时候再进行销售。由于他使用内幕消息并非为了获利而进行交易，而是为了避免在掌握重大消息时进行交易，因此他没有从事非法内幕交易，尽管他仍然从内幕消息中获益。…
A recent book analyzing a large database about "insider trading" as reported to the Securities and Exchange Commission gives valuable insights into what can be learned, by investors and market analysts, from the buying and selling done by insiders. In this article, the book's results are reported, and commentary is added about the implications. Key Words: Insider trading, market indicators for investors, H. Ne)jats Seyhun, insiders' market behavior, statistical studies to predict securities market. H. Neyjats Seyhun's Investment Intelligence from Insider Trading (MIT Press, 1998) reports on a massive study of the ability of statistics on insider trading from 1973 to 1994 to predict U.S. stock returns. It should be of interest to both stock market investors and financial economists. The federal Securities Exchange Act of 1934 defines "insider" in two ways, one of which says insiders are high-level corporate executives, board members, or stockholders with over 10% ownership in the company. Insiders of this kind are forbidden from benefiting from any positions held for less than six months, and anyone in possession of material, non-public information (the other definition of "insider") is forbidden from trading in the firm's securities while having such information. To enforce these regulations, insiders of the first type are required to report their trading of the stocks for which they are insiders within 10 days of the month's close to the Securities and Exchange Commission, which then makes it public. Seyhun combines this data with other stock market data to also report on the profitability of investment rules involving such measures as priceearnings ratios, book-to-market ratios, take-overs, and trends in prices. In Seyhun's study, insider trading in a particular company is first aggregated by months, with a month where the insiders bought more shares than they sold defined as a buying month, and one in which they sold more than they bought being defined as a selling month. This resulted in 144,884 buy months and 164,309 sell months, making this a large database. The surplus of selling is probably because the category of insider includes many who started firms (or got in early), and who afterwards tend to be net sellers. Since most insiders have the bulk of their wealth in their company, standard financial advice would be to diversify (which of course is legal). It should be noted that much insider trading is for such legitimate purposes as diversification and personal liquidity. It is also legal for insiders to make trades based on public information (if, at the time, they have no inside material information). Of course, given their concentrated position and incentive to keep up-to-date on their companies, insiders may be better able to evaluate and use the public information. While it is illegal for insiders to trade on material, non-public information, it is legal to refrain from trading on the basis of material, non-public information, a point Seyhun does not make. To illustrate, consider an individual who has a substantial position in a company (perhaps from being a founder, or from having exercised many options). Having little invested outside of this company, he decides to diversify his investments by selling a portion every quarter, carefully timed so that he is not selling when he has material, non-public information (such as an unusually bad forthcoming earning announcement). This is a very sensible, rational policy most financial planners would approve of, Now suppose this insider receives non-public information that the company's earnings will be unusually good this quarter (or even that the company is negotiating to be taken over at a big premium). The insider is legally free to cancel his planned (but probably unrevealed) sales, making them later when the price is likely to be higher. Since he has used his insider information not to trade at a profit, but to avoid trading when he had material information, he has not engaged in illegal insider trading, although he has still benefited from his inside information. …