文献详情
Does aggregate insider trading predict stock returns in China?
文献类型：期刊
通讯作者：He, Q (reprint author), Renmin Univ China, Sch Finance, Beijing, Peoples R China.
期刊名称：INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
年：2019
卷：24
期：2
页码：922-942
ISSN：1076-9307
关键词：corporate governance; China; insider transactions; market return; ownership concentration; state-owned enterprise
所属部门：财政金融学院
摘要：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 fr ...More
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. ...Hide

DOI：10.1002/ijfe.1699
百度学术：Does aggregate insider trading predict stock returns in China?
语言：外文
人气指数：2
浏览次数：2
基金：MOE Project of Key Research Institute of Humanities and Social Sciences at Universities [16JJD790056]; Fundamental Research Funds for the Central UniversitiesFundamental Research Funds for the Central Universities; Research Funds of Renmin University of China [13XNJ003]
作者其他论文



Does contracting institution affect the patterns of industrial specialization in China?.He, Qing, Xue, Chang, Zhou, Shaojie,.CHINA ECONOMIC REVIEW. 2019, 54, 191-203.
Do speculative bubbles migrate in the Chinese stock market?.He, Qing, Qian, Zongxin, Fei, Zhe, et al. .EMPIRICAL ECONOMICS. 2019, 56(2), 735-754.
Institutional Ownership and Private Equity Placements: Evidence from Chinese Listed Firms.He, Qing, Li, Dongxu, Lu, Liping, et al. .INTERNATIONAL REVIEW OF FINANCE. 2019, 19(2), 315-346.
The effects of trading suspensions in China.He, Qing, Gan, Jingyun, Wang, Shuwan, et al. .NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE. 2019, 50.
Multi-representation adaptation network for cross-domain image classification.Zhu, Yongchun, Zhuang, Fuzhen, Wang, Jindong, et al. .NEURAL NETWORKS. 2019, 119, 214-221.