The dog that did not bark: Insider trading and crashes

Jose Marin () and Jacques Olivier

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as patterns of insider trading driven by earnings announcement dates, or insiders timing their trades to evade prosecution. Finally we provide new evidence regarding crashes and the degree of information asymmetry.

Keywords: Insider Trading; Rational Expectations Equilibrium; Trading Constraints; Volatility; Crashes (search for similar items in EconPapers)
JEL-codes: D82 G11 G12 G14 G28 (search for similar items in EconPapers)
Date: 2006-03
New Economics Papers: this item is included in nep-fin and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: The Dog That Did Not Bark: Insider Trading and Crashes (2015)
Journal Article: The Dog That Did Not Bark: Insider Trading and Crashes (2008)
Working Paper: The Dog that Did Not Bark: Insider Trading and Crashes (2007)
Working Paper: The dog that did not bark: Insider trading and crashes (2007)
Working Paper: The dog that did not bark: insider trading and crashes (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:948

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