報告人：George J. Jiang
時間：2022年10月11日 上午9:00
騰訊會議號：328 160 358
會議密碼：258963
【報告人簡介】
George J. Jiang: Professor of Finance. Gary P. Brinson Chair of Investment Management. Carson College of Business. Washington State University. Dr. Jiang's research and expertise span the area of capital market efficiency, empirical asset pricing, interest rate modoling, risk measurement and management, volatility forecasting, option pricing, and evaluation of mutual fund performance. He has published in academic journals such as the Journal of Financial Economics, Review of Financial Studies, Management Science. etc.
【內容摘要】
Corporate executives are prohibited from trading on material nonpublic information. In 2000, the SEC enacted Rule 10b5-1 that allows insiders to preplan their transactions before aware of material nonpublic information. However, do corporate executives influence the timing and content of information disclosure to benefit their preplanned trades? We examine cumulative abnormal returns (CARs) around insider transactions and document patterns suggesting that insiders are “perfect” timers. That is, stock prices go up (go down) prior to but drop (back up) after insider sells (buys). Further classifying insider trades into preplanned or non-preplanned based on 10b5-1 plan and routine or opportunistic based on insider trading patterns, we show that the stock return patterns hold for all subsamples of insider trades. Using 8-K filings as a proxy of discretionary disclosure, we find that there are significantly more 8-K filings prior to insider trades than during normal time. Moreover, based on sentiment score from RavenPack News Analytics, we find that analyst reports and corporate news release both have significant explanatory power of stock return patterns around insider transactions. The evidence documented in our study cannot rule out the hypothesis that corporate executives influence the timing and content of information disclosure to benefit their preplanned trades.
【主持人簡介】
萬孝園：上海對外經貿大學金融管理學院講師，碩士生導師，金融學博士。研究領域為實證資產定價、行為金融學、市場微觀結構。主持國家自然科學基金青年項目1項，參與上海市“科技創新行動”軟科學一般項目1項。在Journal of Empirical Finance, International Review of Economics and Finance, Economics Letters,《系統管理學報》《預測》《商業研究》和《投資研究》等中英文期刊發表論文十余篇。
【會議地址】
