Short-Run Stock Market Forecasting with Adjusted Insider Trading Data,
Abstract
This paper is concerned with the open-market transactions of corporate insiders. The Securities and Exchange Commission (SEC) publishes information on the buying and selling activities of insiders. which market analysts use to uncover insider sentiment about the prospects of their own corporations and of the entire market. However, the law requires that these transactions be reported to the SEC by the tenth day of the month following a transaction. Moreover, many insiders do not comply with this regulation. Therefore, the available data are always out-of-date in a random manner. We also found that the time lags in reporting buy and sell transactions are different. Since the available data are truncated, it was necessary to adjust the observed probability density function (pdf). We used distributed lag models to study their out-of-sample forecasting performance.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1992
- Accession Number
- ADP007207
Entities
People
- H. D. Vinod
- K. Dadak
Organizations
- Fordham University