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The January Effect and Aggregate Insider Trading
Author(s) -
SEYHUN H. NEJAT
Publication year - 1988
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1988.tb02593.x
Subject(s) - insider trading , aggregate (composite) , compensation (psychology) , insider , financial economics , economics , business , econometrics , monetary economics , finance , psychology , political science , law , materials science , psychoanalysis , composite material
This study investigates the seasonal pattern of aggregate insider trading to help distinguish between two competing explanations for the seasonal pattern of security returns. The first potential explanation examined is that the January effect arises from predictable changes in turn‐of‐the‐year demand for securities. The second potential explanation examined is that the January effect represents compensation for the higher risk of trading against informed traders at the turn of the year.