Chowdhury, Mustafa; Howe, John S.; Lin, Ji-Chai - In: Journal of Financial and Quantitative Analysis 28 (1993) 03, pp. 431-437
A vector autoregressive (VAR) model is used to examine the relation between aggregate insider transactions and stock market returns. Consistent with the extant literature, there is some predictive content associated with aggregate insider transactions, but its magnitude is slight. In contrast,...