Information Content of Aggregate and Individual Insider Trading

45 Pages Posted: 15 Nov 2011

See all articles by Dimitris Andriosopoulos

Dimitris Andriosopoulos

Strathclyde Business School

Hafiz Hoque

University of York; City University London - Sir John Cass Business School

Date Written: September 1, 2011

Abstract

We examine the impact of aggregate insider trading on market returns in the UK. We find that, on aggregate, insiders are contrarians, but their trades are not informative, contrary to previous US evidence. We suggest that this discrepancy is related to the regulatory setting in the UK where insiders have to report their trades within six days. Then we analyse the short-run market reaction to insider trades and find that the information content of insider trading is limited to the period surrounding the announcement dates. We show that market-to-book, company size, stock volatility and market volatility have a significant impact on reporting period returns. In addition, we find that the market reaction is much weaker after controlling M/B and size. Finally, we show that insiders time in high volatile stocks, and following high market volatility.

Keywords: Insider trading, bull-bear market, information content, contrarian strategy, managerial timing

Suggested Citation

Andriosopoulos, Dimitris and Hoque, Hafiz, Information Content of Aggregate and Individual Insider Trading (September 1, 2011). Available at SSRN: https://ssrn.com/abstract=1959549 or http://dx.doi.org/10.2139/ssrn.1959549

Dimitris Andriosopoulos

Strathclyde Business School ( email )

199 Cathedral Street
Department of Accounting and Finance
Glasgow, G4 0QU
United Kingdom
+44(0)1415483892 (Phone)

HOME PAGE: http://www.strath.ac.uk/staff/andriosopoulosdimitrisdr/

Hafiz Hoque (Contact Author)

University of York ( email )

The York Management School
York, YO10 5GD
United Kingdom
+44 (0) 7515890949 (Phone)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44(0)7515890949 (Phone)
+44(0)2070408546 (Fax)

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