Opportunistic insider trading

Sunti Tirapat and Nuttawat Visaltanachoti ()

Pacific-Basin Finance Journal, 2013, vol. 21, issue 1, 1046-1061

Abstract: This study proposes a simple framework to disentangle insiders' opportunistic trade from liquidity trade. An opportunistic trade occurs when the probability of informed trading and the speed of convergence to market efficiency increase in a month of an insider transaction. Using Thailand Securities Exchange Commission (SEC) insider filing reports during 2002 to 2008 we find an average insider achieves merely 0.64% and 0.32% in a month after an insider purchase and sell but an opportunistic portfolio yields approximately 2%.

Keywords: Insiders; Opportunistic-trade; Probability of informed trading; Market efficiency (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:21:y:2013:i:1:p:1046-1061

DOI: 10.1016/j.pacfin.2012.07.006

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