Style Timing with Insiders
Posted: 11 Aug 2010
Date Written: August 11, 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 Strategies
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