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Some Insiders Are Indeed Smart Investors
Not all insiders are the same; some are more effective than others in processing the information they have access to, and invest their own wealth accordingly.
Author(s) :
Research Associate, EDHEC Risk and Asset Management Research Centre
Managing Director & Head of Quantitative Equity Research,European Quantitative Equity Research, Citigroup
Vice President, European Quantitative Equity Research, CitigroupInvestment Research
Presentation :
We used a database with transactions from the U.K. market to identify insiders with superior market timing abilities. For the period 1994 to 2006 we showed that informative insider trades can be identified ex ante through certain characteristics of the transactions and the firm itself. Moreover, we showed how outsiders could benefit from this information. We created a long-only portfolio strategy that generated an economically and statistically significant return. In addition, we showed that the insider transactions' signal can be used to construct a satellite strategy that enhances the returns of a typical quant investment portfolio.| Type : | Working paper |
|---|---|
| Date : | le 01/07/2008 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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Located in Lille, Nice, Paris, London and Singapore, EDHEC is one of the 20 best business schools in the world. Resolutely international and directly connected to the world of business, it is known for the excellence of its research and its capacity to train entrepreneurs and managers able to move the lines.
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