Investment intelligence from insider trading
Investment intelligence from insider trading
复制标题
DOI：
10.7551/mitpress/3951.001.0001
复制
发表时间：
1998-10
期刊：
影响因子：
--
通讯作者：
H. Seyhun
中科院分区：
文献类型：
--
作者：
H. Seyhun
内幕交易是指公司的高级职员、董事和大股东进行的法律的股票交易。许多投资者认为，公司内部人士了解公司的前景，在有利的时候买卖自己公司的股票，获得巨额利润。对于股票市场投资者来说，关键问题是公开的内幕交易信息是否能帮助他们超越简单的被动指数基金。他的见解基于一个详尽的数据集，该数据集收集了所有上市公司21年来所有报告的内幕交易信息-超过100万笔交易！H. Nejat Seyhun展示了投资者如何利用内幕信息为自己谋利。他记录了内幕交易后股票价格波动的幅度和持续时间，内幕交易者利润的决定因素，以及与模仿内幕交易相关的风险。他研究了单个公司和整个股票市场的可能表现，并将内幕交易的价值与常用的价值衡量标准（如市盈率、账面市值比和股息收益率）进行了比较。
The term insider trading refers to the legal stock transactions of the officers, directors, and large shareholders of a firm. Many investors believe that corporate insiders, informed about their firms' prospects, buy and sell their own firm's stock at favorable times, reaping significant profits. The key question for stock market investors is whether publicly available insider-trading information can help them to outperform a simple passive index fund. Basing his insights on an exhaustive data set that captures information on all reported insider trading in all publicly held firms over a period of twenty-one years—over one million transactions!—H. Nejat Seyhun shows how investors can use insider information to their advantage. He documents the magnitude and duration of the stock price movements following insider trading, determinants of insiders' profits, and the risks associated with imitating insider trading. He looks at the likely performance of individual firms and of the overall stock market, and compares the value of what one can learn from insider trading with commonly used measures of value such as price-earnings ratio, book-to-market ratio, and dividend yield.