We examine the private information associated with insider trades using a Chinese data set. Insider buys positively forecast individual stock returns and insider sales negatively forecast individual stock returns. Classifying insiders as corporate managers and institutional investors, we find...

In the classical Kalman-Bucy filter and in the subsequent literature so far, it has been assumed that the initial value of the signal process is independent of both the noise of the signal and of the noise of the observations.The purpose of this paper is to prove a filtering equation for a...