公司内部人士的交易策略

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2017-01-04 DOI:10.2139/ssrn.2118110

Olga Klein, Ernst Maug, Christoph Schneider

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引用次数: 22

摘要

本文通过对公司内部人交易模式的分析，检验了两种互补的最优交易策略理论。根据基于信息的理论，如果投资者与其他人竞争利用相同的信息，他们的交易速度会更快，而基于流动性的理论则预测相反。我们的分析支持基于流动性模型的预测:当内部人士面临来自其他内部人士的竞争时，他们需要更长的时间来完成交易，他们在流动性较低的市场上交易较慢。内部人士适应市场流动性的波动。我们使用car、公司新闻公告和内幕交易模式来识别知情交易。我们的研究结果支持基于信息的交易模型的预测。

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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Trading Strategies of Corporate Insiders

We test two complementary theories of optimal trading strategies by analyzing the transaction patterns of corporate insiders. According to information-based theories, investors trade faster if they compete with others for exploiting the same information, while liquidity-based theories predict the opposite. Our analysis supports the predictions of liquidity-based models: insiders take longer to complete trades when they face competition from other insiders and they trade slower in less liquid markets. Insiders adapt to fluctuations in market liquidity. We identify informed trading using CARs, company news announcements, and insider trading patterns. Our results support the predictions of information-based models for informed trades.

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ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)

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