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J. Jaffe (1974)
Special Information and Insider TradingThe Journal of Business, 47
Benton Gup, H. Manne (1967)
Insider Trading and the Stock Market.Journal of Finance, 22
Joseph Finnerty (1976)
Insiders' Activity and Inside Information: A Multivariate AnalysisJournal of Financial and Quantitative Analysis, 11
W. Wagner, S. Lau (1971)
The Effect Of Diversification On RiskFinancial Analysts Journal, 27
G. Glass (1966)
Extensive insider accumulation as an indicator of near-term stock price performance
J. Jaffe (1974)
The effect of regulation changes on insider tradingThe Bell Journal of Economics, 5
J. Lorie, Victor Niederhoffer (1968)
Predictive and Statistical Properties of Insider TradingThe Journal of Law and Economics, 11
Jensen Jensen (May, 1968)
“The Performance of Mutual Funds in the Period 1945–1964”Journal of Finance, Vol. XXIII
M. Jensen (1967)
The Performance of Mutual Funds in the Period 1945-1964Harvard Business School: Negotiation
W. Sharpe (1970)
Portfolio Theory and Capital Markets
SEPTEMBER 1976 INSIDERS AND MARKET EFFICIENCY JOSEPH E. FINNERTY· I. INTRODUCTION THE STRONG-FORM of the efficient market hypothesis assumes all available public and private information is fully relected in a security's market price. The strongform, in terms of market participants, also assumes that no individual can have higher expected trading profits than others because of monopolistic access to information. One possible test of the strong-form is to determine whether insiders earn better than average profits from their market transactions. To ascertain if the market is truly efficient will involve determining how well insiders do relative to the market in general. To date, some work has already been done in evaluating rates of return earned by insiders trading for their own accounts. Jaffe [3,4], Pratt and DeVere [8], Rogoff [9], and Glass [2] have calculated rates of return earned by insiders trading for their own accounts and their work lends some support to the hypothesis that insiders do, in fact, earn above average profits. A major shortcoming of these studies centers on data availability, as no precise price per share or date of insider trades were reported to the S.E.C. prior to 1965. Further, except for Jaffe, the studies
The Journal of Finance – Wiley
Published: Sep 1, 1976
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