Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading

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• 作者：Chin-Han Chiang^a ; ^{chinhan.chiang@gmail.com} ; Sung Gon Chung^b ; ^{sgchung@wayne.edu} ; Henock Louis^c ; ^hul4@psu.edu
• 关键词：Insider trading ; Stock return volatility ; Option pricing ; Earnings announcements
• 刊名：Journal of Banking & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：76
• 期：Complete
• 页码：65-73
• 全文大小：456 K
• 卷排序：76

文摘

We find strong evidence that net insider selling is positively associated with future stock return volatility, consistent with insider selling increasing outside investors’ uncertainty. The positive effect of net insider selling is significantly stronger when the volatility is measured around the earnings announcement. Apparently, option prices do not fully reflect the information content of insider trading for future volatility. More specifically, we find no evidence that option traders adjust the implied volatility for the insider trading effect in a timely manner. Consequently, net insider selling is significantly associated with future option straddle returns and delta neutral returns.