Retail Insider Trading and Market Price Efficiency: Evidence from Hacked Earnings News

46 Pages Posted: 16 Apr 2019

See all articles by Pat Akey

Pat Akey

University of Toronto - Rotman School of Management

Vincent Gregoire

HEC Montreal - Department of Finance

Charles Martineau

University of Toronto - Rotman School of Management and UTSC Management

Date Written: April 3, 2019

Abstract

Over six years, a group of convicted traders accessed upcoming earnings press releases hours before the official announcement through a series of cyber intrusions into the main newswire services. This setting allows us to investigate how efficient are markets at learning about insider's private information and which stocks are more susceptible to insider trading. Pre-announcement stock returns of firms exposed to hacks predict earnings surprises. Also, the after-hours return responsiveness to surprises decreases by 20%. The effects is predominantly found in medium-sized firms, on days with a high number of earnings announcements, and for large surprises.

Keywords: cyber risks, earnings announcements, insider trading, market price efficiency

JEL Classification: G10, G12, G14

Suggested Citation

Akey, Pat and Gregoire, Vincent and Martineau, Charles, Retail Insider Trading and Market Price Efficiency: Evidence from Hacked Earnings News (April 3, 2019). Available at SSRN: https://ssrn.com/abstract=3365024 or http://dx.doi.org/10.2139/ssrn.3365024

Pat Akey (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada

Vincent Gregoire

HEC Montreal - Department of Finance ( email )

3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada

Charles Martineau

University of Toronto - Rotman School of Management and UTSC Management ( email )

105 St-George
Toronto, Ontario M5S3E6
Canada

HOME PAGE: http://charlesmartineau.com

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