【IMIWorkingPaperNo.1907[EN]】DoesAggregateInsiderTradingPredictStockReturnsinChina?

【Abstract】

This paper studies the information content of aggregate insiders’ transactions in their own firms in China by analyzing 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 (VAR) models and examination of profitable strategies corroborate these findings.

【Keywords】

【Authors】

He Qing, Senior Research Fellow of IMI;China Financial Policy Research Center & School of Finance, Renmin University of China

Chen Bingqian, School of Finance, Renmin University of China

Wen Jing, Columbia Business School, Columbia University.