Does aggregate insider trading predict stock returns in China?

Qing He (), Bingqian Cheng and Jing Wen

International Journal of Finance & Economics, 2019, vol. 24, issue 2, 922-942

Abstract: This paper studies the information content of aggregate insiders' transactions in their own firms in China by analysing approximately 28,000 open market transactions from July 2007 to December 2014. The evidence suggests that publicly available information about aggregate insiders' transactions cannot predict future stock returns. However, the ability of aggregate insiders' transactions to predict future stock returns is positively associated with the strength of corporate governance. Results from vector autoregressive models and examination of profitable strategies corroborate these findings.

Date: 2019
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