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
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 StrategiesAccepted Paper Series
Date posted: August 11, 2010
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