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Impact of the Financial Crisis

on Insider Trading

Shiva Mostafaei

Thesis Supervisor: Jens Martin

September 2015

University of Amsterdam

Amsterdam Business School

Master in International Finance

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TABLE OF CONTENTS

INTRODUCTION

3

I

NFORMATION

A

SYMMETRY

4

I

NSIDER

T

RADING

R

EGULATIONS

5

M

ARKET

E

FFICIENCY

7

LITERATURE REVIEW

8

DATA

11

RESULTS OF EMPIRICAL ANALYSIS

12

CONCLUSION

27

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INTRODUCTION

Since the origins of the financial market, there has been widespread discussion regarding the controversy of insider trading activity. An insider is a director, senior officer or owner of ten percent or more of publically listed common stock of a company. To define insider trading precisely can be considered challenging, since it can depend on the ethical, economic or the legal perspective in which it is being viewed. As a result, insider trading can be categorized as either legal or illegal. Illegal insider trading is the buying or selling of stock using material non-public information for financial gain; however, depending upon when the transaction took place, insider trading can be considered legal. In many cases, trading by insiders is done to diversify their portfolio or to cash-out. Nonetheless, oversight agencies, such as the Securities and Exchange Commission (SEC), require that all insiders inform the Commission of their trading activity. Moreover, many investors use this information when making their own investment decisions.

In light of the recent events of financial and corporate crises, additional attention has been given to insider trading; nevertheless, deals done by majority shareholders of a firm and corporate executives are an essential property of insider trading. As a result, it is imperative to understand and ascertain the reasons why insiders have made their transactions. Furthermore, it is also important to examine the motivations and ethical concerns regarding insider trading. The interest on this topic can be broken down into the following areas: Firstly, there are real-world consequences such as earnings announcements and cash flow projections, the role

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of leadership in corporate reporting, markets overreacting, and contrary opinion rules. Secondly, in a scholastic setting, there are conjectural debates, for example, regarding pricing and market performance, information asymmetry, signaling effect and market efficiency. Lastly, one must also consider ethical challenges, leadership conduct, conflicts of interest and illegal activity surrounding the topic of insider trading. Due to the impact across various dimensions on market performance, the views on analysts and investors - especially, regarding their practices and procedures when making decisions - many governing organization have taken a keen interest in changing the rules and regulations as well as characteristics of insider trading. Needless to say, since the turn of the century, The European Commission and SEC have hastened their commitment to making improvements to the rules governing insider trading.

Information Asymmetry

Information asymmetry is when one party to a transaction has information about the transaction to which the other party is not privy; thus, insider trading does exhibit a certain level of information asymmetry. When based on an economic standpoint, any individual making transactions using information not available to others regarding the financial health or value of shares of an organization is considered to be in possession of insider information. As a result, one must ask to what extent should individuals have access to asymmetrical information; however, depending on which perspective, either legal or ethical, the decision could vary. Typically, guidelines set forth dictate the amount of asymmetric information that an

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individual can use. In comparison, the legal classification should be more clear and strict than an economic classification, since information asymmetry is inherent in stock markets. In short, insider trading is trading based on non-public information which could impact company stock prices; however, the exact legal understanding of it is contingent upon the legal context to which it is being it is being examined. Likewise, from an ethical point of view, this same transaction could be considered objectionable while being completely legal.

Insider Trading Regulations

Subsequent to notorious financial disasters, there has been a greater focus by governing organizations in advanced capital markets to the type of information, corporate problems, and market performance. Furthermore, legal and illegal behavior of insider trading is a crucial area of concern for these regulatory bodies. More specifically, these oversight agencies are focused on trades conducted by directors, corporate officers and employees within their own firms. As of 2002, many governing agencies require compulsory reporting from all insiders regarding their trading activity. When attempting to understand if a trade was legal or illegal, typically it should be based upon if the corporate insider, while in the possession of private information, violated their fiduciary responsibility or other trusted affiliations when making trades of their own company stocks. Nonetheless, when making this determination there are several issues, which involve the circumstances where insider trading violations might transpire, issues surrounding the trading by corporate officers who misuse this information and incidents that include tipping information.

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As such, oversight agencies should handle the discovery and prosecution of insider trading crimes as an important enforcement matter, since there are enormous ramifications on investor confidence in the objectivity and reliability of the securities market, and corporate disclosure, when there has been a violation of fiduciary responsibility.

During the 1990s, the Commission and European Union Leaders believed that having a more efficient single market required significant changes to the area of financial services. Consequently, many European nations passed insider trading guidelines as a result of the European Directive; however, in 2003, the European Union updated these policies with the Market Abuse Directive. Essentially, the Market Abuse Directive addressed market manipulation and insider dealing, which mandated that a single regulatory authority be the enforcer of this order in each country. Furthermore, when making particular investment recommendations, it became mandatory that additional information be made available; especially, by those whose personal financial interests were involved. In short, the Market Abuse Directive aimed at preventing primary and secondary insiders to participate in the following manner: (a) suggesting trades to third parties; (b) using non-public information when making trades; and (c) divulging non-public information to third parties (Engelen 2005; Kristen 2005).

In the United States, to address opposing views within the courts, the SEC adopted two new rules to deal with insider trading issues. Rule 10b5-1 states that an individual making trades while in possession of material non-public information may do so at a certain time and is apparent the information in hand is not an element in

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their decision. Moreover, many corporate executives follow this mandate to prevent allegations of insider trading. Rule 10b5-2 seeks to explain how the misappropriation theory, which is essentially the act of unlawfully obtaining non-public information for the use of personal financial gain when making trades, can be applicable to particular non-business associations. Furthermore, any person who is in possession of non-public information would have a fiduciary responsibility to the source of the information (U.S. Securities and Exchange Commission 2000).

Market Efficiency

Ever-present in economic literature is a clear difference between market manipulation and insider trading. To reiterate, insider trading is the buying or selling of stock using material non-public information that is pertinent to the intrinsic value of a firm, and as a result, its stock price. Furthermore, it shows that there is a distinct relationship between market efficiency and insider trading known as information efficiency. Subsequently, if non-public information that is essential to the estimation of stock prices is made available to all traders, then logically stock prices will shift towards its intrinsic value. As a result, market efficiency is increased and influenced by insider trading. On the other hand, market manipulation occurs when private information is used to influence the stock price against its intrinsic value, which causes market efficiency to decrease. Therefore, Vermaelen (1986) states that increased market efficiency will be lessened if insider trading were to be curtailed, since it would reduce the speed in which security prices reflected current information. In most economic literature, this idea is of most importance; however, it

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has yet to be properly addressed in philosophic literature. Alternatively, the debate from an ethical point of view is that it does not accurately portray reality, although, theoretically it is likely to occur. Furthermore, when seeking the morality of insider trading, it becomes complicated when one cannot discern between market manipulation and insider trading. On the other hand, it has been illustrated through empirical studies, that it is likely to discern insider trading from market manipulation (Manne 1966). As such, it can be concluded based on empirical research that one can recognize various forms of insider trading, which enhances information dissemination in markets versus methods that can obstruct information dissemination known as market manipulation.

LITERATURE REVIEW

One can trace back early research and academic discussions regarding insider trading to the 60s and 70s during which there were numerous advances on basic issues in finance. For example, the growth of the market during the 80s, and thereafter, with respect to the amount of firms listed, their size and importance has been an element in increased awareness in scholarly studies. However, after half a century of research, there are still many unanswered questions regarding insider trading, partially due to mitigating results. Such as, the numerous findings examined offer varied support of the efficient market theory (Roddenberry and Bacon 2011). In contrast, the proliferation of intricacies of these trades as a result of the increasing duties of senior officers in the capital market economy does not help to offer adequate explanations for several remaining issues on insider trading.

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Jaffe (1974), during his initial research, contended that outside investors experienced excess (risk-adjusted) returns when making regular trades with insiders based on announced insider transactions. Additionally, this discovery was confirmed through Trivoli’s (1980) study, which stated that outside investors could also increase their returns with the addition of financial ratios. Another study, conducted by Nunn, Madden and Gombola (1983), indicated that outside investors should factor in the position of the insider, such as a director, officer, or board member that is engaged in the trading of the firm’s shares in into their scheme. On the other hand, Seyhun (1988a) reports that investors utilizing insider reports were unable to make a profit once total transaction costs were included. Further adding to this argument was the study of Lee and Solt (1986), which states that one cannot utilize aggregate insider trading data as a guide to market trading, and subsequently, this was confirmed by the outcome of a study done by Seyhun (1988b) and Chowdhury Howe and Lin (1993).

Numerous scientific papers investigate if information can be inferred from the actions of corporate officers for outside participants. A study conducted by Seyhun (1988b) showed that there is a positive correlation between market portfolio and net aggregate insider activity. He further demonstrated that, generally, there is a decline in the amount of shares acquired following the increases in the stock market and an increase in the number of shares acquired prior to increases in the stock market (Seyhun 1988b). As such, this behavior could offer support to the theory that insiders are, at the very least, able to foresee positive or negative impacts of economic conditions. Nevertheless, Seyhun does not offer strong proof as to the

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degree of which the results of insiders’ transactions is contingent upon their ability to foresee economic conditions or the value and type of nonpublic information they have due to their persuasive positions within the company. In 1990, Seyhun discusses the stance of corporate insiders that did not methodically anticipate the crash of 1987 noticing that during the week of October 12th, insiders were selling versus buying as the prices of stocks decreased. As a result, he attributes the approach of corporate insiders’ to the overreact effect in market pricing.

The debate on overreaction had been studied by Rozeff and Zamand (1998) who offered proof that insiders were buying more when stocks switched from growth to value and after low returns; however, with high returns, the number of insider purchases declined. Their study also challenges the scheme of corporate officers to that of public investors who underestimate value stocks and overestimate growth stocks. Furthermore, they recognize that corporate officers who have access to extremely important information are more inclined to try and benefit from these under or overvaluations by placing more emphasis on the purchase of value stock or the sale of growth stocks (Rozeff and Zamand 1998).

Contrarian strategy is an investment style that goes against dominant market movements by purchasing stocks that are underperforming and then selling when they perform well. This strategy is an important subject on insider trading within current literature and is common among technical analysts. While the data set and structure of the research are not similar, they do offer analogous conclusions such that insiders can foresee market returns either as contrarian or as a result of insider information on cash flows.

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Clearly, these observations highlight the significance of the ethical principles that surround insider trading. Moreover, these findings offer proof that corporate insiders who participate in these trades are to profit greatly from an information asymmetry perspective and are motivated by possessing such private information

DATA & HYPOTHESIS

The sample data gathered for this study covers the period from 2007 until 2010. By using this time frame, it provides a better insight into the behavior of insider trading during and after the financial crisis, which peaked in 2008. The breakout of these dates considers 2007-2008 as the crisis period and 2009-2010 as post-crisis. For the purposes of this study, the sample set was gathered using DataStream and is comprised of the corporate insider activity for the 30 companies on the Dow Jones Index (DJI). However, this sample excludes options and shares acquired from compensation plans and private transactions.

In this analysis, we study the buying and selling activity of corporate insiders and have collected daily historical price information for the 30 companies on the DJI from Yahoo Finance such as stock opening prices, high and low prices, stock close price and stock volume. Additional information of market capitalization, stock market book to value and return on asset (ROA) were also obtained from DataStream.

To address the points outlined in this paper, we test the following hypothesis regarding the behavior of corporate insiders identified in comparison to an increase (decrease) in the number of trades during and after the financial crisis.

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(decrease) the number of trades during the time period of 2007-2010, while accounting for price movements. To test the trading activity of insiders, we look at the total number of trades during and after the financial crisis to draw comparisons between the average number of trades, with changes in the market represented by the DJI.

H1: Do corporate insiders increase (decrease) their number of trades during and after the crisis, in expectation of price movements.

RESULTS OF EMPIRICAL ANALYSIS

A panel data set of 60 periods and 30 companies was used with a fixed effect regression to account for firm specific effects. The first 8 tables show the overall behavior of corporate insiders during the entire period of 2007-2010.

Table 1 contains the dependent variable of the number of direct buys. The independent variables used in models 1 and 2 are market value to book value, trading volume of the firm per month, the monthly returns of the firm, ROA and market value. The first independent variable in this table is market value to book value, which has a consistent positive effect on the number of direct buys; however, it reaches a level statistical significance in only the first 2 models. In the second model, if you incorporate the monthly returns of the DJI, the monthly returns of the DJI have a significant positive effect on the number of direct buys. In the third model, the monthly returns of the firm and the monthly returns of the DJI have been replaced with the monthly returns of the firm from the previous month and the

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monthly returns of the DJI from the previous month, which both have a statistically significant positive effect on the number of direct buys.

Table 2 uses the volume of direct buys as the dependent variable. This table is also in line with the previous findings in table 1, where the market value to book value in all the three models has a positive statistically significant effect on the volume of direct buys. Furthermore, if you replace the monthly returns, for both the firm and DJI, with the lagged returns, they also have a positive and statistically significant effect. Essentially, these results show that if a firm performed well in the previous month, insiders were seen to have purchased their own firm’s stock in the following month, which is also in line with our expectations.

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Table 3 uses the number of indirect buys as the dependent variable. The table shows that the monthly returns of the firm do not have a consistent positive effect on the number of direct buys. Moreover, the negative value in the first model appears to be abnormal. In the second model, the effect becomes positive and statistically significant; moreover, by adding the monthly returns of the DJI, it shows a negative effect on the number of direct buys, which is not in line with our expectations. In the third model, none of the regresses reach a level of statistical significance.

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In table 4, the volume of indirect buys is the dependent variable. The independent variable, market value to book value, has a positive effect on the volume of indirect buys, which is statistically significant in all three models. The monthly returns of the firm shown in models 1 and 2 both have a negative effect on the volume of indirect buys. If the monthly returns of the firm are substituted with the monthly returns of the firm from the previous month, it has a positive effect, which is in line with expectations.

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Table 5 uses the number of direct sales as the dependent variable. In the first model, it can be seen that the independent variable, market value to book value, has a significant positive effect on the number of direct sales. Additionally, the monthly returns of the firm in the first model has a positive effect on the number of direct sales and reaches statistical significance despite there being an inconsistency amongst all three models. Essentially, the effect of this variable is not clear over all three models, since there is a change in the second model. When adding the monthly returns of the DJI to the second model, it reaches a level of statistical significance and has a positive effect on the number of direct sales. An example of this can be seen when a firm performs well, insiders want to cash out their gains,

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and therefore, sell their shares of stock. This is also true for the third model. When adding the monthly returns of the firm from the previous month, this has a positive effect and reaches a level of statistical significance. An example of this would be if a stock performs well in the previous month, insiders will want to realize their gains, and thus, sell their shares of stock.

In table 6, the volume of direct sales is the dependent variable. In all three models, it can be seen that the independent variable, market value to book value, has a significant positive effect on the volume of direct sales. In the third model, both the monthly returns of the firm and the monthly returns of the DJI have been replaced with the monthly returns of the firm of the previous month and the monthly

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returns of the DJI of the previous month, which have a negative effect on the volume of direct sales. This effect contrasts the findings of the previous month, since the volume of direct sales has a positive effect; yet, in the third model, it has a negative effect. Based on the results, one could argue, that there were many sales; however, it was not significant in terms of volume.

Table 7 uses the number of indirect sales as the dependent variable. In the second model, only the monthly returns of the DJI reach a level of statistical significance, which has a negative effect on the number of indirect sales.

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In table 8, the dependent variable is the volume of indirect sales. In the third model, only the monthly returns of the previous month have a statistically significant effect, which means the volume of indirect sales increased.

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The following tables depict the effect of the financial crisis, 2007-2008, on the behavior of corporate insiders during the post-crisis period, 2009-2010. In table 1, the dependent variable being used is the volume of direct buys during the financial crisis. In all three models, it can be seen that the independent variable, market value to book value, has a significant positive effect on the volume of direct buys. The monthly returns of the firm shown in models one and two both have a negative effect on the volume of direct buys; however, it only reaches a level of statistical significance in the second model. In the third model, both the monthly returns of the firm and the monthly returns of the DJI have been replaced with the monthly returns of the firm from the previous month and the monthly returns of the DJI from the previous month, which have a positive effect on the volume of direct buys.

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In table 2, the dependent variable is the volume of direct buys during the period after the financial crisis, 2009-2010. In all three models, it can be seen that the independent variable, market value to book value, has a significant negative effect on the volume of direct buys. In the third model, the monthly returns of the firm from the previous month have a positive statistically significant effect on the volume of direct buys.

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In the table 3, the dependent variable is the volume of direct sales during the financial crisis. Again, all three models show a negative effect on the volume of direct sales. Furthermore, a level of statistical significance is reached in the third model when using the monthly returns of the firm from the previous month.

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Table 4 utilizes the volume of direct sales for the period after the financial crisis as the dependent variable. It can be seen, in all three models, that the market value to book value does reach a level of statistical significance; however, there is a negative effect on the volume of direct sales. In contrast, the monthly returns of the firm in the first and second models have a positive effect on the volume of direct sales. Lastly, the third model illustrates, that when the monthly returns of the firm and the monthly returns of the DJI are substituted with the monthly returns of the firm from the previous month and the monthly returns of the DJI from the previous month, a level of statistical significance is achieved; however, this has a negative effect on the volume of direct sales.

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Table 5 below shows an alternate measure of market changes and those of insider trading transactions, broken out by month from January 2007 until December 2010. Furthermore, figures 1, 2 and 3 attempt to show insider trading activity over time centered on changes in the market. The following variables were used to examine insider trading activity as outlined by Seyhun (1990):

• NP (Number of Purchases) – represents the number of total insider purchase transactions.

• NS (Number of Sells) – represents the number of total insider sell transactions. • SP (Shares Purchased) – represents the total number of shares purchased by

insiders.

• SS (Shares Sold) – represents the total number of shares sold by insiders. • PRAT (Purchase Ratio to All Insider Transactions) – number of purchases as a

fraction of all insider transactions (buy and sell).

• SPRAT (Share Purchase Ratio to All Insider Transactions) – number of shares

purchased as a fraction of total shares purchased and sold.

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for insider trading behavior. Furthermore, Seyhun (1990) argues that these ratios are not necessarily sensitive to changes in the number of firms or transactions over time and do not show any extreme outliers.

As displayed in table 3 and figures 1, 2, and 3, during a majority of 2007, we observe a PRAT and SPRAT ratio of less than 50%. This intensive sale activity occurs under generally unfavorable market performance and at a time when the first signs of the financial crisis were looming. Subsequently, for insider buy activity in 2008, both PRAT and SPRAT ratios show a huge spike in June (78% and 89%) and September (77% and 81%), respectively. This abnormal purchase activity corresponds to the market crash as we observe unfavorable market performance during both June (-0.11) and September (-0.06). Following the relative market recovery, insider behavior shows a reversal in trend. As we observe, there was a shift in the years following the crisis in 2009-2010, as the overall insider purchase activity remained greater than 50% under generally favorable market conditions. These results provide some evidence of contrarian schemes of the corporate insider when compared to the market. Therefore, when market conditions are favorable, there is an increase in the number of sell transactions; however, when market conditions are unfavorable, there is an increase in the number of purchase transactions. This strategy was mainly chosen by insiders during the peak of the financial crisis in 2008 with possible market crashes. Moreover, the results from this part of the study are supported by the findings of Seyhun (1990). His analysis of insider trading responses to the market crash in 1987 showed a higher PRAT and SPRAT ratio in October of 80% and 62%, respectively.

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Figure 1: Daily Insider Trading Number of Buy, Sell and Return Market Stocks in 30 Firms from January 2007 to December 2010

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Figure 2: Daily Insider Trading Number of Shares Purchased, Sold and Return Market Stock in 30 Firms from January 2007 until December 2010

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Figure 3: Daily Insider Trading Activity (ratio) and Return Market Stock of 30 Firms from January 2007 to December 2010

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CONCLUSION

The aforementioned points discussed in this paper will help to better understand if the financial crisis had an impact on insider trading activity. The time period focused on 2007-2010, where 2007-2008 is considered the period of the financial crisis, and 2009-2010 is post-crisis. This interval was chosen to determine if there was any abnormal activity regarding changes in corporate insiders’ behavior.

The main point of this report is to better understand insider trading behavior with respect to the financial crisis. We examined the time series trend change in corporate insider transactions to provide an explanation regarding their behavior and perception of the financial crisis. Our results show, there was a negative correlation between insider purchase activity to market changes. During negative market conditions, insiders increased the number of purchases they made; whereas, the number of sell transactions increased under favorable market conditions. Furthermore, this was also confirmed by Seyhun (1990) who observed similar behavior amongst insiders’ reaction to the 1987 market crash.

In this study, regressions have been used to show insider purchase and sale activity, specifically during and after the crisis. Results are interesting as we find negative relationship between insider trading volume, both buy and sell, and market value to book value; except, during the crisis where the volume of direct buys are positively impacted. Results on the monthly returns of the firm from the previous month are positive, implying that corporate insiders were driven to acquire stocks that performed well in prior period and are significant.

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These results support the notion that insiders partake in a well-defined approach with respect to buying, selling, timing and circumstances of the market when they make their trades. The scheme centered on anticipation is not only restricted to corporate insiders, but affects individuals of all groups that participate in the market. Nevertheless, there are numerous distinctions amongst the circumstances and the quality of insider trading and those individuals participating in the market. A key disparity is linked to the persuasive position of the corporate insider and the benefit of having knowledge of specific timely events or news with respect to non-insiders. Another disparity can be associated to their understanding and experience of various market conditions. There are still many unanswered questions surrounding insider trading; however, this paper has attempted to address some of the behavior patterns during and after the financial crisis.

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References

Chowdhury, M., Howe, J.S. and Lin, J.C. (1993) “The Relation between Aggregate Insider Transactions and Market Return” The Journal of Finance and Quantitative Analysis 28, pp. 431-437

Engelen, P.J. (2005) “Remedies to Informational Asymmetries in Stock Markets”, Antwerp/Oxford: Intersentia Publishers

European Parliament and of the Council (2003) “Directive on Insider Dealing and Market Manipulation (Market Abuse)” 2003/6/EC, pp. 10

Jaffe, J.F. (1974) “Special Information and Insider Trading”, Journal of Business 47 (2), pp. 410-428

Kristen, F. (2005) “Integrity on European Financial Markets: Backgrounds, Objectives, Reasons, Overall Contents and Implications of the Market Abuse Directive” European Company Law 1, pp. 13-21

Lee, W.Y. and Solt M.E. (1986) “Insider Trading: A Poor Guide to Market Timing” Journal of Portfolio Management 12, pp. 65-71

Manne, H.G. (1966) “Insider Trading and the Stock Market” New York, Free Press, pp. 189

Nunn, K.P. and Madden, G.P. and Gombola, M.J. (1983) “Are Some Insiders More ‘Inside’ than Others?” Journal of Portfolio Management 9 (3), pp. 18-22 Piotroski, J.D. and Roulstone, D.T. (2005) “Do Insider Trades Reflect Both Contrarian Beliefs and Superior Knowledge about Future Cash Flow Realizations?” Journal of Accounting and Economics 39 (1), pp. 55-81

Roddeenberry, S. and Bacon, F. (2011) “Insider Trading and Market Efficiency: Do Insiders Buy Low and Sell High?” Journal of Finance and Accountancy 8, pp. 16

Rozeff, M. and Zaman, M. (1998) “Overreaction and Insider Trading: Evidence from Growth and Value Portfolios” The Journal of Finance 53, pp. 701-716 Seyhun, N. (1988a) “The January Effect of Aggregate Insider Trading” The Journal of Finance 43, pp. 129-141

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Seyhun, N. (1988b) “The Information Content of Aggregate Insider Trading” The Journal of Business 61, pp. 1-24

Seyhun, N. (1990) “Overreaction or Fundamentals: Some Lessons from Insiders’ Response to the Market Crash of 1987” The Journal of Finance 45 (5), pp. 1363-1388

Shaw, B. (1990) “Shareholder Authorized Inside Trading: A Legal and Moral Analysis” Journal of Business Ethics 9, pp. 913-928

Trivoli, G. W. (1980) “How to Profit from Insider Trading Information” Journal of Portfolio Management 6 (4), pp. 51-56

U.S. Securities and Exchange Commission (2000) “Selective Disclosure and

Insider Trading” https://www.sec.gov/rules/final/33-7881.htm

Vermaelen, T. (1986) “Encouraging Information Disclosure: Innovative and Other Approaches”, Tijdschrift voor Economie en Management 31, pp. 435-449

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