Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/48405 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Working Paper No. 2008-04
Verlag: 
Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS), München
Zusammenfassung: 
Insider trading studies related to the German market have emphasized that outside investors may earn excess returns by mimicking the transactions of corporate directors. Such a result, provided that it holds, would constitute a serious violation of the efficient market hypothesis. The results presented in this paper, though, show that this anomaly is mainly caused by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid/ask-spread, we show that the information conveyed by insider trades cannot be exploited in terms of generating abnormal returns once these transaction costs are taken into account. We conclude that the market's under-reaction to reported insider trades can mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market is efficient with respect to insider trades in the sense that prices reflect publicly available information to the point where the marginal benefit of acting on information exceeds marginal costs.
Schlagwörter: 
Insider Trading
Directors' Dealings
Arbitrage Risk
Market Efficiency
JEL: 
G11
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
330.13 kB





Publikationen in EconStor sind urheberrechtlich geschützt.