Both short-term momentum and long-term reversal are attributable to investors underreacting to preceding insider trading information. Past winners (losers) continue to earn significant positive (negative) returns in the short term only if their insider trading activity indicates positive...

Aggregate demand by insiders predicts time-series variation in the value premium. Insider trading forecasts the value premium because insiders sell (buy) when markets - especially growth stocks - are overvalued (undervalued). This article suggests that investors can use signals from aggregate...

Aggregate demand by insiders predicts time-series variation in the value premium — between 1978 and 2004, a one standard deviation increase in aggregate insider demand in the previous six months forecasts a 53 basis point decline (6.54% annualized) in the expected value premium in the month...