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SUMMARY:Do Proxies for Informed Trading Measure Informed Trading? Evidence
  from Illegal Insider Trades
DTSTART:20180608T103000
DTEND:20180608T123000
DTSTAMP:20260415T024344Z
UID:4fbe7d726ecec84c78c8663d246b6e7f9533ad7e1fde5f5d0bb0c6b4
CATEGORIES:Conferences - Seminars
DESCRIPTION:Kenneth AHERN (USC Marshall School of Business)\nThis paper ex
 ploits hand-collected data on illegal insider trades to provide new eviden
 ce of the ability of standard measures of illiquidity to detect informed t
 rading. Controlling for unobserved cross-sectional and time-series variati
 on\, sampling bias\, and strategic timing of insider trades\, I find that 
 when information is short-lived\, absolute order imbalance and the autocor
 relation of order flows are statistically and economically robust predicto
 rs of insider trading. However\, when information is long-lasting\, inside
 rs strategically time their trades to avoid illiquidity and none of the me
 asures I consider are reliable predictors of insider trading\, including b
 id-ask spreads\, Kyle’s λ\, and Amihud illiquidity.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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