Style Timing with Insiders

Posted: 11 Aug 2010

See all articles by Heather S Knewtson

Heather S Knewtson

Michigan Technological University

Richard W. Sias

University of Arizona - Department of Finance

David A. Whidbee

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

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Date Written: August 11, 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

Suggested Citation

Knewtson, Heather S and 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: https://ssrn.com/abstract=1656952

Heather S Knewtson (Contact Author)

Michigan Technological University ( email )

School of Business and Economics
1400 Townsend Drive
Houghton, MI 49931
United States
906-487-2771 (Phone)

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 470
Pullman, WA 99164-4746
United States
509-335-3098 (Phone)
509-335-3857 (Fax)

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