Insiders and Market Efficiency |
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300 securities above-average return Asset Pricing Model average insider portfolio Beginning Month bias buy and sell buy or sell buy portfolios buy transactions Capital Asset Pricing DeVere's different from zero differential return earn above-average Error Statistic cance EVALUATION expected value given month holding period return identify profitable IMPLICATIONS AND CONCLUSIONS indicate individual insiders individual portfolio return insider acts insider buy insider performance Insider Trading Insiders are able insiders are selling insiders earn intercept term Jaffe Jaffe's January Jensen Late reports line AA line BB market portfolio methodology monthly differential monthly equivalent return number of days NYSE outperform the market portfolio for month Pratt and DeVere Properties of Insider random error term rate of return realized returns regression equation regression line residuals return earned return was calculated Rf,t risk premium sell portfolios sell transactions significantly different standard error strong-form systematic risk theoretically expected thirty-six data points unprofitable situations