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An investigation of insider trading profits in the Spanish stock market
16 references·13 citing·36 second hop
An investigation of insider trading profits in the Spanish stock market (2002)An investigation of insider trading profi…How Does Information Quality Affect Stock Returns? (2000)How Does Information Quality …An Empirical Analysis of Illegal Insider Trading (1992)An Empirical Analysis of Ille…Insider Trading around Dividend Announcements: Theory and Evidence (1991)Insider Trading around Divide…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Market Efficiency and Insider Trading: New Evidence (1988)Market Efficiency and Insider…Insiders' profits, costs of trading, and market efficiency (1986)Insiders' profits, costs of t…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On corporate governance (1983)On corporate governanceAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…INSIDERS AND MARKET EFFICIENCY (1976)INSIDERS AND MARKET EFFICIENCYSpecial Information and Insider Trading (1974)Special Information and Insid…Insider trading and information asymmetry: Evidence from the Korea Exchange (2021)Insider trading and informati…The impact of related party transactions on firm value (2019)The impact of related party t…Insider trading and networked directors (2019)Insider trading and networked…Corporate insider trading in Europe (2017)Corporate insider trading in …Renewing environmental certification in times of crisis (2015)Renewing environmental certif…Do Criminal Sanctions Deter Insider Trading? (2013)Do Criminal Sanctions Deter I…A Global Comparison of Insider Trading Regulations (2013)A Global Comparison of Inside…Observing evidence of insider trading in the Athens Stock Exchange (2012)Observing evidence of insider…Are directors’ dealings informative? Evidence from European stock markets (2011)Are directors’ dealings infor…Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency (2007)Are Emerging Markets More Pro…The Role of Investment, Financing and Dividend Decisions in Explaining Corporate Ownership Structure: Empirical Evidence from Spain (2006)The Role of Investment, Finan…Do what insiders do (2006)Do what insiders doCorporate governance mechanisms and their impact on firm value (2006)Corporate governance mechanis…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Investor sentiment and the near-term stock market (2003)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)Efficient Capital Markets: II (1991)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Are Insider Trades Informative? (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1974Special Information and Insider Trading1,236 cited
  • 1986Insiders' profits, costs of trading, and market efficiency1,219 cited
  • 1983On corporate governance961 cited
  • 1992An Empirical Analysis of Illegal Insider Trading818 cited
  • 1976INSIDERS AND MARKET EFFICIENCY488 cited
  • 1988Market Efficiency and Insider Trading: New Evidence454 cited
  • 2000How Does Information Quality Affect Stock Returns?387 cited
  • 1991Insider Trading around Dividend Announcements: Theory and Evidence

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372 cited

Cited by

  • 2019Insider trading and networked directors83 cited
  • 2015Renewing environmental certification in times of crisis74 cited
  • 2006The Role of Investment, Financing and Dividend Decisions in Explaining Corporate Ownership Structure: Empirical Evidence from Spain67 cited
  • 2007Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency37 cited
  • 2006Do what insiders do35 cited
  • 2012Observing evidence of insider trading in the Athens Stock Exchange35 cited
  • 2019The impact of related party transactions on firm value32 cited
  • 2021Insider trading and information asymmetry: Evidence from the Korea Exchange30 cited
  • 2006Corporate governance mechanisms and their impact on firm value28 cited
  • 2017Corporate insider trading in Europe28 cited
  • 2011Are directors’ dealings informative? Evidence from European stock markets26 cited
  • 2013A Global Comparison of Insider Trading Regulations19 cited
  • 2013Do Criminal Sanctions Deter Insider Trading?15 cited