Earticle

초록

영어

This paper examines the relationship between credit rating changes, insider trading, and future stock returns. We find that prior insider trading is negatively related to credit rating changes. Insiders are more likely to purchase shares before a downgrade rather than before an upgrade. Thus, an investor is likely to face information signals that seem to systematically disagree on the value of the firm simultaneously: for example, insider purchases and downgrades. We also document that both insider trading and credit rating changes have additional power to explain market-adjusted stock returns, regardless of the negative relationship between credit rating changes and insider trading. Finally, we show that the information value of insider trading is mainly coming from insider purchases, while that of credit rating changes is mostly driven by credit rating downgrades.

목차

Abstract
 1. Introduction
 2. Hypotheses Development
 3. Data and Descriptive Statistics
  3.1. Sample Construction
  3.2. Measurement of Insider Trading Activities
  3.3. Descriptive Statistics
 4. Methodology and Empirical Results
  4.1. Methodology
  4.2. Relation between Insider Trading and Credit Rating Changes
  4.3. Information Value of Insider Trading and Credit Rating Changes
  4.4 Robustness Check
 5. Conclusions
 References
 FIGURE
 TABLE

키워드

저자

• Taekyu Kim [ Assistant Professor, College of Business at Hallym University ]
• Jungsoon Shin [ Assistant Professor, School of Management at Ewha Womans University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330