Insider Trading: What Really Protects U.S. Investors? Open Access

White, Roger McNeill (2017)

Permanent URL: https://etd.library.emory.edu/concern/etds/8k71nh893?locale=en
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Abstract

I examine the ability of the U.S. investor protection regime to limit insider trading returns in a setting absent Section 16(b) of the Securities Exchange Act of 1934 (the short swing rule). I find that U.S. insiders in this setting execute short swing trades that (1) beat the market by about 15 basis points per day and (2) occur with remarkably high frequency around earnings surprises. These results indicate that the bright-line rule restricting short horizon roundtrip insider trading plays a substantial role in protecting outside investors from privately informed insiders in the United States.

Table of Contents

CONTENTS DISSERTATION 1. Introduction 1

2. Background and Literature Review 4

3. Empirical Approach 9

4. Results 12

5. Robustness Tests 21

6. Conclusion 27 7. References 30 TABLES

Table 1 36

Table 2 37

Table 3 38

Table 4 39

Table 5 40

Table 6 42

Table 7 44

Table 8 45

Table 9 46

Table 10 48

APPENDICES

Dissertation Appendix 49

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