30 Pages Posted: 4 Jun 2007
We use a unique data set to consider whether a large institution's (Fidelity funds) insider trades are informed. Theoretical studies of large informed traders suggest that their information advantage could be greater for buy trades than sell trades, be short- or long-lived, and be exploited by varying the pace of trade execution. Although there is evidence of each of these, Fidelity seems to be informed only for quickly executed buy trades. Other trades outperform a stock market index but not a four-factor return model. This performance profile is consistent with Fidelity's fees, which depend on performance compared to an index.
Suggested Citation: Suggested Citation
Golec, Joseph H., Are the Insider Trades of a Large Institutional Investor Informed?. Financial Review, Vol. 42, No. 2, pp. 161-190, May 2007. Available at SSRN: https://ssrn.com/abstract=990901 or http://dx.doi.org/10.1111/j.1540-6288.2007.00166.x
By Richard Sias
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: fire.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.