Abstract

  
 

Citations



 


 



Style Timing with Insiders


Heather S. Knewtson


Central Michigan University - Department of Finance and Law

Richard W. Sias


University of Arizona - Department of Finance

David A. Whidbee


Washington State University - Department of Finance, Insurance and Real Estate
August 11, 2010

Financial Analysts Journal, Vol. 66, No. 4, pp. 46-56, 2010

Abstract:     
Aggregate demand by insiders predicts time-series variation in the value premium. Insider trading forecasts the value premium because insiders sell (buy) when markets - especially growth stocks - are overvalued (undervalued). This article suggests that investors can use signals from aggregate insider behavior to adjust style tilts and exploit sentiment-induced mispricing.

Keywords: Equity Investments, Portfolio Management: Equity Portfolio Management Strategies

Accepted Paper Series


Date posted: August 11, 2010  

Suggested Citation

Knewtson, Heather S., Sias, Richard W. and Whidbee, David A., Style Timing with Insiders (August 11, 2010). Financial Analysts Journal, Vol. 66, No. 4, pp. 46-56, 2010. Available at SSRN: http://ssrn.com/abstract=1656952

Contact Information

Heather S. Knewtson (Contact Author)
Central Michigan University - Department of Finance and Law ( email )
Mount Pleasant, MI 48859
United States
509-774-7554 (Phone)
HOME PAGE: http://faculty.cba.cmich.edu/webs/knewt1h
Richard W. Sias
University of Arizona - Department of Finance ( email )
McClelland Hall
P.O. Box 210108
Tucson, AZ 85721-0108
United States
David A. Whidbee
Washington State University - Department of Finance, Insurance and Real Estate ( email )
Todd 480
PO Box 644746
Pullman, WA 99164-4746
United States
509-335-3098 (Phone)
509-335-3857 (Fax)
Feedback to SSRN (Beta)


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