Insider filings as trading signals — Does it pay to be fast?

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-30 DOI:10.1016/j.frl.2024.106514

Eike Oenschläger, Steffen Möllenhoff

引用次数: 0

Abstract

We test a trading strategy based on SEC Form 4 insider trading filings in the post Sarbanes–Oxley Act period. Using intraday data, we analyze whether a prompt reaction to the announcement would earn abnormal returns. We find positive but lower abnormal percentage returns than in previous studies for short holding periods, but they vanish and even become negative when limiting the tradable dollar amount for each trading signal to a reasonable size. Moreover, we find that the returns in our setup are negatively correlated with stock liquidity, almost negating a potentially profitable and scalable trading strategy even before considering transaction costs.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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