Paper #999

Título:

Firms vs. insiders as traders of last resort

Autores:

José M. Marín y Antoni Sureda-Gomila

Fecha:

Noviembre 2006

Resumen:

We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders� trading activities have a clear impact on return distributions. Furthermore, we provide empirical evidence on insiders transactions and firm transactions affecting returns in a different manner. In particular, while insiders� transactions (both purchases and sales) have a strong impact on skewness in the short run and to a lesser extent in short run volatility, company repurchases only have a clear impact on volatility, both in the short and the long run. We provide explanations for this asymmetry.

Palabras clave:

Insider trading, liquidity, short-horizon variance, autocorrelation, skewness

Códigos JEL:

G11, G12, G14, G18

Área de investigación:

Finanzas y Contabilidad

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