When insiders trade less: density and return predictability When insiders trade less: density and return predictability

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2025-09-22 DOI:10.1016/j.iref.2025.104641

Congcong Wang , Zhenxiao Wang , Mardy Chiah , Yang Bai

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Abstract

This study examines whether insider trading density predicts subsequent stock returns in China. Trading density is defined as the number of trading months relative to an insider's tenure. Using 40,159 monthly transaction records from 18,206 insiders across 2653 listed firms from 2008 to 2019, we find that low-density trades yield significantly higher abnormal returns for hedge portfolios that go long on strong purchases and short on strong sales. Panel regressions confirm that this result holds after controlling for firm- and insider-level characteristics, trading patterns, and alternative variable specifications. Additional analyses of short-run abnormal returns and large price movements further reinforce the informativeness of trading density. We also find that the predictive power of trading density is moderated by information asymmetry, corporate governance, and account type. These findings suggest that insider trading density captures private information advantages beyond established proxies, giving investors and regulators an additional signal for assessing trading informativeness.

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当内部人交易较少时：密度和回报可预测性

本研究探讨内幕交易密度是否能预测中国股票的后续收益。交易密度定义为相对于内幕人士任期的交易月数。利用2008年至2019年2653家上市公司18,206名内部人士的40,159笔月度交易记录，我们发现低密度交易对于做多强劲买入、做空强劲卖出的对冲投资组合产生了显著更高的异常回报。面板回归证实，在控制公司和内部水平的特征，交易模式和替代变量规格后，这一结果成立。对短期异常收益和大幅价格变动的额外分析进一步增强了交易密度的信息量。我们还发现交易密度的预测能力受到信息不对称、公司治理和账户类型的调节。这些发现表明，内幕交易密度抓住了现有代理之外的私人信息优势，为投资者和监管机构评估交易信息提供了额外的信号。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.