Premium
Does aggregate insider trading predict stock returns in China?
Author(s) -
He Qing,
Cheng Bingqian,
Wen Jing
Publication year - 2019
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1699
Subject(s) - stock (firearms) , insider trading , economics , financial economics , aggregate (composite) , china , corporate governance , econometrics , monetary economics , emerging markets , stock market , autoregressive model , business , finance , engineering , materials science , political science , law , composite material , mechanical engineering , paleontology , horse , biology
This paper studies the information content of aggregate insiders' transactions in their own firms in China by analysing approximately 28,000 open market transactions from July 2007 to December 2014. The evidence suggests that publicly available information about aggregate insiders' transactions cannot predict future stock returns. However, the ability of aggregate insiders' transactions to predict future stock returns is positively associated with the strength of corporate governance. Results from vector autoregressive models and examination of profitable strategies corroborate these findings.