Our evidence indicates that insiders' trades provide significant new information to market participants and they are incorporated more fully in stock prices as compared to non-insiders' trades. We find that market professionals do not front-run insiders' trades. Both insiders' purchases and...

The accuracy of variance prediction depends on both the specification and the accuracy of parameter estimation. To predict stock return variance in a large and ever-changing universe, this paper proposes to replace the classic time-series dynamics specification per each name with a...