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Insider purchases earn 37 to 47 basis points a month and insider sales earn nothing
| Portfolio and benchmark | Monthly alpha | Standard error | Significant |
|---|---|---|---|
| Purchases, market model | 0.47% | 0.16% | yes |
| Purchases, four factor | 0.37% | 0.11% | yes |
| Purchases, characteristic matched | 0.41% | 0.11% | yes |
| Sales, market model | -0.09% | 0.14% | no |
| Sales, four factor | 0.05% | 0.10% | no |
| Sales, characteristic matched | 0.06% | 0.09% | no |
Rolling one year value weighted portfolios of reported insider transactions, monthly estimates over 1 January 1976 to 31 December 1996, returns starting the day after each trade. The characteristic benchmark matches on size, book to market and momentum across 125 bins. The paper reports coefficients, standard errors and significance markers, not t statistics or p values.
A portfolio tracking reported insider purchases earns a significant monthly abnormal return under three different benchmarks, between 37 and 47 basis points. The matching portfolio of insider sales is economically and statistically insignificant under all three, and positive in the first week.
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