Style timing with insiders

Heather S. Knewtson, Richard W. Sias, David A. Whidbee

Research output: Contribution to journalArticle

4 Scopus citations

Abstract

Aggregate demand by insiders predicts time-series variation in the value premium. Insider trading forecasts the value premium because insiders sell (buy) when markets-especially growth stocks-are overvalued (undervalued). This article suggests that investors can use signals from aggregate insider behavior to adjust style tilts and exploit sentiment-induced mispricing.

Original languageEnglish (US)
Pages (from-to)46-66
Number of pages21
JournalFinancial Analysts Journal
Volume66
Issue number4
DOIs
StatePublished - Jul 1 2010
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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