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dc.contributor.authorMa, Qingzhong
dc.contributor.authorUkhov, Andrey D.
dc.date.accessioned2020-09-09T16:33:35Z
dc.date.available2020-09-09T16:33:35Z
dc.date.issued2012-12-12
dc.identifier.other7351194
dc.identifier.urihttps://hdl.handle.net/1813/70912
dc.description.abstractConventional wisdom suggests that insiders buy shares on positive, and sell on negative, information. Under regulations of insider trading, however, insiders keep silent while possessing extreme information. We find that this phenomenon of insider silence is systematically related to a broad set of anomalies, particularly in the short legs. Specifically, among firms in the short legs, those whose insiders kept silent in the past experience significant negative future returns, which are even lower than when insiders net sold. On average, insider silence accounts for 64% of the short-leg abnormal returns. Our paper provides quantitative evidence of mispricing for return anomalies.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Cornell University. This report may not be reproduced or distributed without the express permission of the publisher.
dc.subjectCornell
dc.subjectanomaly
dc.subjectregulation
dc.subjectinsider trading
dc.subjectinsider silence
dc.titleWhat is common among return anomalies? Evidence from insider trading decisions
dc.typearticle
dc.description.legacydownloads2013_Ma_What_is_common.pdf: 251 downloads, before Aug. 1, 2020.
local.authorAffiliationMa, Qingzhong: qm26@cornell.edu Cornell University
local.authorAffiliationUkhov, Andrey D.: au53@cornell.edu Cornell Universtiy


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