This paper examines changes in return-generating processes before and after the crash of '87. We find that the process for daily returns of size-sorted portfolios changed from an ARMA (1, 2) in the pre-crash period to a MA(1) in the post-crash period. The change is explained by a "fads" model...

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,...