SAFE Visitos Program/Finance Brown Bag Seminar

When:29 August 2018
, 14:00
 - 15:00
Where:HoF E.20

Speaker:  Andriy Shkilko, Wilfrid Laurier University

Title: Insider Trading Under the Microscope

Abstract: Recent theory suggests that company insiders may time liquidity, and therefore their trading should be difficult to detect. Empirical studies have not yet come to an agreement on this issue, largely due to data limitations. I examine a multi-year intraday dataset that identifies all insider orders and trades processed by a major stock exchange. The results suggest that insiders primarily focus on return timing rather than liquidity timing and therefore are easily discovered by other market participants. As such, prices adjust to insider trades quickly, in a matter of minutes, and before insiders finish trading. Most of this adjustment is driven by order imbalances generated by insiders themselves and by traders who mimic them.

Registration is not required!