Aggregate Insider Trading in the S&P 500 and the Predictability of International Equity Premia

Posted: 24 Jan 2023 Last revised: 18 Mar 2023

See all articles by Andre Guettler

Andre Guettler

Ulm University - Department of Mathematics and Economics; Halle Institute for Economic Research

Patrick Hable

2iQ Research GmbH

Patrick Launhardt

Ulm University

Felix Miebs

University of Applied Sciences Cologne

Date Written: February 6, 2023

Abstract

We show that aggregate insider trading (AIT) in the S&P 500 is a reliable predictor of the U.S. equity premium, while AIT outside the S&P 500 seems to be uninformative. In an international setting, we find that AIT based on S&P 500 insiders predicts international equity premia. Contrary to our U.S. based measure of AIT, we do not find any predictive content of domestic AIT for international equity premia. The informational content of AIT of S&P 500 insiders for U.S. and international equity premia stems from the insiders’ ability to forecast cash flow news in- and outside the U.S.

Keywords: equity risk premium; aggregate insider trading; predictive regression; informed traders

JEL Classification: D82; G11; G12; G14; G15

Suggested Citation

Guettler, Andre and Hable, Patrick and Launhardt, Patrick and Miebs, Felix, Aggregate Insider Trading in the S&P 500 and the Predictability of International Equity Premia (February 6, 2023). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2808346 or http://dx.doi.org/10.2139/ssrn.2808346

Andre Guettler

Ulm University - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

Patrick Hable

2iQ Research GmbH ( email )

Hochstraße 29
Frankfurt am Main, 60313
Germany

Patrick Launhardt (Contact Author)

Ulm University ( email )

Albert-Einstein-Alee 11
Ulm, D-89081
Germany

Felix Miebs

University of Applied Sciences Cologne ( email )

Claudiusstrasse 1
Cologne, 50678
United States

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