A1284
Title: Insider trading reporting, market activity, and liquidity
Authors: Florian Richard - Universite Laval (Canada) [presenting]
Abstract: How does insider trading affect volume and liquidity? Using a panel dataset of over 200,000 insider transactions, it is found that the publication of an insider transaction report is associated with a 3\% increase in same-day trading volume, followed by a 20-day decline. Purchases are associated with higher trading volume, while sales are associated with lower trading volume over time. Overall, insider transactions widen same-day bid-ask spreads. Market participants are more active in response to larger sales. Transaction size has no effect on spreads. The use of novel spread measures and panel data offers contrasting results with the previous literature.
