원문정보
초록
영어
This paper examines the relationship between credit rating changes, insider trading, and future stock returns. We find that prior insider trading is negatively related to credit rating changes. Insiders are more likely to purchase shares before a downgrade rather than before an upgrade. Thus, an investor is likely to face information signals that seem to systematically disagree on the value of the firm simultaneously: for example, insider purchases and downgrades. We also document that both insider trading and credit rating changes have additional power to explain market-adjusted stock returns, regardless of the negative relationship between credit rating changes and insider trading. Finally, we show that the information value of insider trading is mainly coming from insider purchases, while that of credit rating changes is mostly driven by credit rating downgrades.
목차
1. Introduction
2. Hypotheses Development
3. Data and Descriptive Statistics
3.1. Sample Construction
3.2. Measurement of Insider Trading Activities
3.3. Descriptive Statistics
4. Methodology and Empirical Results
4.1. Methodology
4.2. Relation between Insider Trading and Credit Rating Changes
4.3. Information Value of Insider Trading and Credit Rating Changes
4.4 Robustness Check
5. Conclusions
References
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