Style timing with insiders

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

doi:10.2469/faj.v66.n4.7

Style timing with insiders

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

Research output: Contribution to journal › Article › peer-review

6 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 language	English (US)
Pages (from-to)	46-66
Number of pages	21
Journal	Financial Analysts Journal
Volume	66
Issue number	4
DOIs	https://doi.org/10.2469/faj.v66.n4.7
State	Published - Jul 2010
Externally published	Yes

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.2469/faj.v66.n4.7

Cite this

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title = "Style timing with insiders",

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.",

author = "Knewtson, {Heather S.} and Sias, {Richard W.} and Whidbee, {David A.}",

year = "2010",

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doi = "10.2469/faj.v66.n4.7",

language = "English (US)",

volume = "66",

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journal = "Financial Analysts Journal",

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AU - Knewtson, Heather S.

AU - Sias, Richard W.

AU - Whidbee, David A.

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N2 - 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.

AB - 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.

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DO - 10.2469/faj.v66.n4.7

M3 - Article

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JO - Financial Analysts Journal

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Style timing with insiders

Abstract

ASJC Scopus subject areas

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