The Dog That Did Not Bark: Insider Trading and Crashes

Català | Castellano

Marín Vigueras, José María; Olivier, Jacques P.. The Dog That Did Not Bark: Insider Trading and Crashes. 2006
http://hdl.handle.net/10230/817

To cite or link this document: http://hdl.handle.net/10230/817

Title:	The Dog That Did Not Bark: Insider Trading and Crashes
Author:	Marín Vigueras, José María; Olivier, Jacques P.
Other authors:	Universitat Pompeu Fabra. Departament d'Economia i Empresa
Abstract:	This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as patterns of insider trading driven by earnings announcement dates, or insiders timing their trades to evade prosecution. Finally we provide new evidence regarding crashes and the degree of information asymmetry.
Document type:	Working paper
Date:	2006
Rights:	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)