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

White, Roger McNeill (2017)
Dissertation (58 pages)
Committee Chair / Thesis Adviser: Dichev, Ilia
Committee Members: Green, Clifton ; Owens, Edward
Research Fields: Accounting; Finance; Law
Keywords: insider trading; short swing; Section 16(b)
Program: Laney Graduate School, Business
Permanent url: http://pid.emory.edu/ark:/25593/rvv2b

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

Files

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