English, Article, Journal or magazine article edition: Firms vs. Insiders as Traders of Last Resort José M. Marín; Antoni Sureda-Gomila

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Bookmark: http://trove.nla.gov.au/version/154797
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Firms vs. Insiders as Traders of Last Resort
Author
  • José M. Marín
  • Antoni Sureda-Gomila
Physical Description
  • preprint
Notes
  • RePEc:imd:wpaper:wp2007-21
  • We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders’ trading activities have a clear impact on return distributions. Furthermore, we provide empirical evidence on insiders transactions and firm transactions affecting returns in a different manner. In particular, while insiders’ transactions (both purchases and sales) have a strong impact on skewness in the short run and to a lesser extent in short run volatility, company repurchases only have a clear impact on volatility, both in the short and the long run. We provide explanations for this asymmetry.
  • Insider trading, liquidity, short-horizon variance, autocorrelation, skewness
  • RePEc:upf:upfgen:999
Language
  • English
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