|
|
|
|
||||
|
||||
Market Efficiency and Insider Trading: New EvidenceMichael S. RozeffSUNY at Buffalo - Department of Financial & Managerial Economics Mir A. ZamanUniversity of Northern Iowa - Department of Finance Journal of Business, January, pp. 25-44, 1988 Abstract: It is not surprising that corporate insiders earn profits from trading their stocks, but it is surprising that outsiders can earn abnormal returns by mimicking the insider trades using publically available information. We suggest that these anomalous returns are explained by the size and price/earnings ratio effects. Controlling for these factors reduces outsider profits by one-half. The additional assumption of 2 percent transactions costs makes outsider profits zero or negative. Measured insider profits are also greatly reduced by controlling for size and price/earnings effects. Insider profits are a modest 3 percent per annum after deducting a 2 perecnt transactions costs fee.
Number of Pages in PDF File: 20 Keywords: insider trading, market efficiency, size and price/earnings effects JEL Classification: G14 Accepted Paper SeriesDate posted: May 22, 2006Suggested CitationContact Information
|
|
||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.718 seconds
