Gangopadhyay, Partha; Yook, Ken; Shin, Yoon - In: Review of Quantitative Finance and Accounting 43 (2014) 1, pp. 1-19
Roll (J Financ 43:541–566, <CitationRef CitationID="CR42">1988</CitationRef>) argues that firm-specific stock return volatility may result either from informed trading or from noise trading that is unrelated to information. In this paper we provide evidence that insider purchases are inversely related to the idiosyncratic volatility of...</citationref>
