Synthesizing Information-Driven Insider Trade Signals

88 Pages Posted: 21 Aug 2023

See all articles by Jens Heckmann

Jens Heckmann

University of Duisburg-Essen - House of Energy Markets and Finance

Heiko Jacobs

University of Duisburg-Essen, Campus Essen

Patrick Schwarz

University of Duisburg-Essen - House of Energy Markets and Finance

Date Written: August 15, 2023

Abstract

We propose a simple approach to synthesize presumably information-driven insider trading signals for the cross-section of stocks. We find that the resulting composite strategy can predict returns, predominantly in equal-weighted portfolios, in our global sample. The results indicate that the benefits of our composite strategy reflect a short-term informational advantage of insiders. Finally, cross-country analysis reveals that varying insider trading restrictions between countries have limited explanatory power for the benefits of the composite strategy.

Keywords: Informed trading, insider trading, return predictability, global stock markets

JEL Classification: G12, G14

Suggested Citation

Heckmann, Jens and Jacobs, Heiko and Schwarz, Patrick, Synthesizing Information-Driven Insider Trade Signals (August 15, 2023). Available at SSRN: https://ssrn.com/abstract=4537187 or http://dx.doi.org/10.2139/ssrn.4537187

Jens Heckmann

University of Duisburg-Essen - House of Energy Markets and Finance ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Heiko Jacobs

University of Duisburg-Essen, Campus Essen

Germany

Patrick Schwarz (Contact Author)

University of Duisburg-Essen - House of Energy Markets and Finance ( email )

Universitätsstrasse 2
Essen, 45141
Germany

HOME PAGE: http://sites.google.com/view/patrick-schwarz

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