Insider Trading-Strategy based on the Information Content of Form 4 Disclosure

本研究探討美國股市報酬率與公司高階主管或受定義為可能俱有內線交易資訊者依照美國證券交易委員會(Securities and Exchange Commission)相關規定(Form 4)呈報其對自己公司進行證券相關買賣之內部人交易資訊之關聯。本研究發現：(1) 參與內部人交易之公司其公司特質與過往實證研究類似。(2) 內部人交易資訊測度中的「累積買量」(Aggregate Insider Purchases) 對股票未來報酬率的預測能力下降。 (3) 我們所定義內部人交易測度對小公司的未來報酬率預測能力下降，而中大型公司卻上升。 (4) 隨著時間經過，我們所定義的內部人交易測度對未來報酬率的預測能力逐步下降。 如上現象可歸因於較為透明的市場資訊、較為嚴密的法律制度與市場效率。 關鍵字：內部人交易、訊息內涵、市場效率、市場學習This study examines the effects of the information content of insider trading on long-run future returns by defining several insider trading measures. We find that (1) the characteristics of the firms that engage in insider trading are similar to those in past empirical researches, (2) the predictive power of the aggregate insider purchases relents, (3) the predictive power on returns of smaller firms of insider trading measures we define is diminishing while that of larger firms is improving, (4) in general, the predictive power of insider trading measures we define are diminishing as time moves forward. We attribute these phenomena to greater market transparency, better enforcement of law and market efficiency. Keywords: Insider Trading; Information Content; Market Efficiency; Market Learning致謝 I 中文摘要 II ABSTRACT III I. INTRODUCTION 4 II. METHODOLOGY 11 III. SUMMARY STATISTICS 14 IV. REGRESSION RESULTS 15 V. THE PREDICTABILITY OF INSIDER TRADING INFORMATION 18 VI. CONCLUSION 21 REFERENCE 23 TABLE 1 SUMMARY STATISTICS 25 TABLE 2 FAMA-MACBETH REGRESSION RESULTS (NETBUY) 28 TABLE 3 FAMA-MACBETH REGRESSION RESULTS (PUREBUY) 30 TABLE 4 FAMA-MACBETH REGRESSION RESULTS (EXTREMEBUY) 32 TABLE 5 FAMA-MACBETH REGRESSION RESULTS (NETBUYRATIO) 34 APPENDIX 1: AN EXAMPLE OF ADJUSTMENT OF INSIDERS’ SELLING TRANSACTIONS RELATED TO OPTIONS 40 APPENDIX 2: DEFINITION OF VARIABLES 41 Figure 1: The moving average slope of the past 12 month regressions of the monthly return on Dummynetbuy1_6. 36 Figure 2: The moving average slope of the past 12 month regressions of the monthly return on the Dummynetbuy1_6 with respect to Small Size Firm. 36 Figure 3: The moving average slope of the past 12 month regressions of the monthly return on the Dummynetbuy1_6 with respect to Medium Size Firm 37 Figure 4: The moving average slope of the past 12 month regressions of the monthly return on the Dummynetbuy1_6 with respect to Large Size Firm 37 Figure 5: The moving average slope of the past 12 month regressions of the monthly return on the Dummpuretbuy1_6. 38 Figure 6: The moving average slope of the past 12 month regressions of the monthly return on the Dummypurebuy1_6 with respect to Small Size Firm 38 Figure 7: The moving average slope of the past 12 month regressions of the monthly return on the Dummypurebuy1_6 with respect to Medium Size Firm 39 Figure 8: The moving average slope of the past 12 month regressions of the monthly return on the Dummypurebuy1_6 with respect to Large Size Firm 3