TY - JOUR
T1 - Information asymmetry and cross-sectional variation in insider trading
AU - Huddart, Steven J.
AU - Ke, Bin
N1 - Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
PY - 2007
Y1 - 2007
N2 - We investigate the relationship of candidate information asymmetry measures to aspects of insiders' trades. For two of the measures, the median absolute abnormal return over past earnings announcements (MAG_ AR) and whether the firm reports R&D expenditures, associations are consistent with the predictions of a price-taking theory of informed trade. Also, insiders' profits are significantly higher when MAG_AR is greater. For the other measures we consider, associations are inconsistent with the predicted relationships, suggesting that either those measures are poor proxies for information asymmetry or models of informed trade are not descriptive.
AB - We investigate the relationship of candidate information asymmetry measures to aspects of insiders' trades. For two of the measures, the median absolute abnormal return over past earnings announcements (MAG_ AR) and whether the firm reports R&D expenditures, associations are consistent with the predictions of a price-taking theory of informed trade. Also, insiders' profits are significantly higher when MAG_AR is greater. For the other measures we consider, associations are inconsistent with the predicted relationships, suggesting that either those measures are poor proxies for information asymmetry or models of informed trade are not descriptive.
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U2 - 10.1506/0277-1110-4434-M627
DO - 10.1506/0277-1110-4434-M627
M3 - Article
AN - SCOPUS:33947615140
VL - 24
SP - 195
EP - 232
JO - Contemporary Accounting Research
JF - Contemporary Accounting Research
SN - 0823-9150
IS - 1
ER -