Aggregate insider trading in the S&P 500 and the predictability of international equity premia

Andre Guettler, Patrick Hable, Patrick Launhardt and Felix Miebs

Finance Research Letters, 2023, vol. 54, issue C

Abstract: We show that aggregate insider trading (AIT) in the S&P 500 is a reliable predictor of the U.S. equity premium, while AIT outside the S&P 500 seems to be uninformative. In an international setting, we find that AIT based on S&P 500 insiders predicts international equity premia. Contrary to our U.S. based measure of AIT, we do not find any predictive content of domestic AIT for international equity premia. The informational content of AIT of S&P 500 insiders for U.S. and international equity premia stems from the insiders’ ability to forecast cash flow news in- and outside the U.S.

Keywords: Equity risk premium; Aggregate insider trading; Predictive regression; Informed traders (search for similar items in EconPapers)
JEL-codes: D82 G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323000995
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000995

DOI: 10.1016/j.frl.2023.103725

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().