Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/135207
Title: ON THE RELATION BETWEEN INSTITUTIONAL TRADES AND INSIDER TRADES: SOME EMPIRICAL EVIDENCE
Authors: SHAO YUPING
Keywords: Institutional Investor, Trading Strategy, Insider Trading, Institutional Learning
Issue Date: 11-Jul-2016
Source: SHAO YUPING (2016-07-11). ON THE RELATION BETWEEN INSTITUTIONAL TRADES AND INSIDER TRADES: SOME EMPIRICAL EVIDENCE. ScholarBank@NUS Repository.
Abstract: Using daily institutional trading data, this paper shows when insider trades are contrary to the direction of previous institutional trading, institutional investors subsequently reverse their own trading strategies to be consistent with these insiders. This reversal is more pronounced when the earlier trades of the institution in question are larger, and when the insider trades being observed are more informative. I also find that the probability that institutions reverse their trade direction following insider trades and, indeed, avoid trading in the opposite direction to insiders in the first place, increases with institutions’ experience. I exploit an exogenous shock to insider trade informativeness to identify and confirm the institutional learning and trading response. My findings are not explained by liquidity provision activities of institutions or other agency-related incentives. Insiders that trade against previous institutional patterns provide important incremental information to the market. Insider buy trades on stocks where there was previous institutional selling are associated with a monthly calendar-time portfolio alpha of 2.21%. When insider buy trades are in the same direction as previous institutional trading, the monthly alpha is only 1.50%.
URI: http://scholarbank.nus.edu.sg/handle/10635/135207
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
SHAOYP.pdf2.28 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

33
checked on Jan 14, 2018

Download(s)

1,440
checked on Jan 14, 2018

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.