Striking up with the in crowd: When option markets and insiders agree

Collin Gilstrap, Alex Petkevich and Pavel Teterin

Journal of Banking & Finance, 2020, vol. 120, issue C

Abstract: We study whether the trading behavior of corporate insiders provides additional information to the market, after controlling for the public information integrated by sophisticated investors. First, we establish that insiders and option market participants trade in the same direction on average. Second, we show that insidertrading is relatively more informed when the option market sentiment is positive. The marginal information content of insider trades is higher for firms with higher levels of information asymmetry and during time periods when future economic conditions are less certain.

Keywords: Insiders; Volatility spread; Predictability (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302259

DOI: 10.1016/j.jbankfin.2020.105963

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