报告人：George J. Jiang
时间：2022年10月11日 上午9:00
腾讯会议号：328 160 358
会议密码：258963
【报告人简介】
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.
【内容摘要】
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.
【主持人简介】
万孝园：上海对外经贸大学金融管理学院讲师，硕士生导师，金融学博士。研究领域为实证资产定价、行为金融学、市场微观结构。主持国家自然科学基金青年项目1项，参与上海市“科技创新行动”软科学一般项目1项。在Journal of Empirical Finance, International Review of Economics and Finance, Economics Letters,《系统管理学报》《预测》《商业研究》和《投资研究》等中英文期刊发表论文十余篇。
【会议地址】
