Insider Trading Patterns

David Cicero M. Babajide Wintoki
We analyze the information content of corporate insiders’ trades after accounting for certain trading patterns. Insiders spread their trades over longer periods of time when they have a longer lived informational advantage and when outside investors are less attentive. In contrast, they make isolated trades in short windows of time when their informational advantage is short-lived. Both isolated trades and trade sequences (those spread over multiple consecutive months) predict sizable abnormal returns; for sequences, these abnormal returns are manifest only following the completion of the sequence. The return patterns we identify continue to hold for a large group of insiders that would have been classified as “routine” traders by prior research, suggesting that informed insider trading may be even more widespread than previously thought.

С использованием данных о торговле инсайдеров определяются их разовые и серийные покупки (продажи). Серийные сделки могут быть использованы в построении лонг-шортовой стратегии - покупаем бумаги, по которым топы делали серийные покупки, продаем те, где были серийные продажи. По результатам в статье доходность может быть 20-30% годовых.