EconPapers    
Economics at your fingertips  
 

Estimating the Returns to Insider Trading: A Performance-Evaluation Perspective

Leslie A. Jeng, Andrew Metrick and Richard Zeckhauser
Additional contact information
Leslie A. Jeng: Boston University School of Management

The Review of Economics and Statistics, 2003, vol. 85, issue 2, 453-471

Abstract: This paper uses performance-evaluation methodology to estimate the returns earned by insiders when they trade their company's stock. Our methods are designed to estimate the returns earned by insiders themselves and thereby differ from the previous insider-trading literature, which focuses on the informativeness of insider trades for other investors. We find that insider purchases earn abnormal returns of more than 6% per year, and insider sales do not earn significant abnormal returns. We compute that the expected costs of insider trading to noninsiders are about 10 cents for a $10,000 transaction. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (177)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/003465303765299936 link to full text (application/pdf)
Access to full text is restricted to subscribers.

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:tpr:restat:v:85:y:2003:i:2:p:453-471

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by Kelly McDougall ( this e-mail address is bad, please contact ).

 
Page updated 2024-07-09
Handle: RePEc:tpr:restat:v:85:y:2003:i:2:p:453-471