모닝스타 내부자 장단기 거래 수익률 측정
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미국 증권 금융 정보 서비스 제공 업체인 Morningstar Inc. 의 내부자 거래 (insider trading) 정보를 활용하여 실제로 내부자들의 거래의 수익률이 어떻게 되는지 측정한 소논문입니다. 비정상수익률(CAR; Cumulative Abnormal Return)과 BHAR (Buy and Holding Abnormal Return)을 이용하여 장단기 내부자 거래 수익률을 측정하였습니다. Event study 방법론을 참고하기 위해 매우 유용할 것으로 생각됩니다.목차
1. Data and descriptive statistics2. Methodology
3. Empirical findings
4. Estimation on total dollar profits of insider trading
5. Reference
본문내용
First, insiders of Morningstar Inc. do exploit private information in their trading. They enjoyed +12.65% of abnormal return for 150 days following purchase and they avoided -14.69% of abnormal return for 180 days by selling on average. Second, annual compensation per an insider is $354,529 and total dollar profit of insider trading per an insider is $294,806 on average. Finally, CEOs and Directors have higher level of information than other insiders do and Directors especially have earned higher total dollar profits than their compensation by more than 12 times.<중 략>
Table 1 reports descriptive statistics of the data. Panel A shows statistics for the full sample. Most notably, only 3 insiders of Morningstar Inc. have purchased 5 times during 2008 to 2014 while 18 insiders have sold 1,108 times during the same period. The reason is that insiders have generally purchased stocks from the non-open market. This paper excludes this case since purchase prices in the non-open market are n
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