Insider trading and anomalies

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2025-10-16 DOI:10.1016/j.jempfin.2025.101666

Jiaxing Tian , Hong Xiang , Minghai Xu

引用次数: 0

Abstract

We show that the insider trading pattern on anomaly long-short portfolio stocks can forecast anomaly returns. Specifically, we use the fraction of anomaly long-leg (short-leg) stocks being bought (sold) by insiders as a signal to extract insiders’ information on expected returns of the anomaly. Based on a composite anomaly measure that combines 11 prominent anomalies, we show that the insider trading signal significantly forecasts anomaly returns both in-sample and out-of-sample. These findings also help disentangle the risk-based and the mispricing-based explanations for anomaly returns.

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内幕交易和异常情况

我们证明了异常多空组合股票的内幕交易模式可以预测异常收益。具体而言，我们使用内幕人士买入（卖出）异常长腿（短腿）股票的比例作为信号，提取内幕人士对异常预期收益的信息。基于结合11个突出异常的复合异常度量，我们表明内幕交易信号可以显著预测样本内和样本外的异常回报。这些发现也有助于理清基于风险和基于错误定价的异常回报解释。

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

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.