Journal of Financial and Quantitative Analysis· 2026Q1
Synthesizing Information-Driven Insider Trade Signals
- 0citations
- Q1SCImago
- 2026year
Short summary
A novel composite strategy using information-driven insider trading signals forecasts stock returns globally, particularly in equal-weighted portfolios with short holding periods and insider-buying signals.
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Key points
- A composite strategy synthesizing information-driven insider trading signals forecasts stock returns globally.
- Predictability is highest in equal-weighted portfolios, short holding periods, and with insider-buying signals.
- Global diversification improves the strategy's performance.
- Varying insider trading restrictions between countries show limited impact on the strategy's performance.
AI-generated from the title and abstract; the full text is not read.
Abstract
Abstract We propose a novel approach to synthesize presumably information-driven insider trading signals for the cross section of stocks. We find that the resulting straightforward composite strategy can often forecast returns in a global sample. This predictability is strongest in equal-weighted portfolios, short holding periods, and insider-buying signals, and it improves further with global diversification. Cross-country analysis reveals that varying insider trading restrictions between countries have limited explanatory power for the performance of the composite strategy. Overall, the results are consistent with a short-term informational advantage of insiders, which might be due to the skillful interpretation of non-private news.
The authors' abstract, as published at the source. Journal of Financial and Quantitative Analysis, 2026 · DOI ↗
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Field: Finance
FinanceEconomics, Econometrics and Finance