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The Profits to Insider Trading: A Performance-Evaluation Perspective
1999
Social Science Research Network
This paper estimates the profits to insiders when they trade their company's stock. We construct a rolling "purchase portfolio" that holds all shares purchased by insiders over the previous year and an analogous "sale portfolio" that holds all shares sold by insiders over the previous year. We then analyze the returns to these value-weighted portfolios using performance-evaluation methods. This approach allows us to study the returns to insider transactions beginning on the day after their
doi:10.2139/ssrn.146029
fatcat:vpdgtys3xjfdtmjpelxmfj4s3e