“Swimming Ducks Forecast the Coming of Spring”—The predictability of aggregate insider trading on future market returns in the Chinese market

Cai, 2009, Earnings management associated with large shareholder selling, Audit Res., 2, 40 Chen, Z., Guan, Y., Ke, B., 2011. Fake stock options? An empirical analysis of managerial stock option compensation in state-controlled Chinese firms listed in Hong Kong. <http://www.ssrn.com>. Fidrmuc, 2006, Insider trading, news releases, and ownership concentration, J. Finance, 6, 2931, 10.1111/j.1540-6261.2006.01008.x Friedrich, 2002, Short-run returns around the trades of corporate insiders on the London stock exchange, Europ. Finan. Manage., 8, 7, 10.1111/1468-036X.00174 Givoly, 1985, Insider trading and the exploitation of inside information: some empirical evidence, J. Bus., 58, 69, 10.1086/296283 Gunny, K., Ke, B., Zhang, T.C., 2008. Corporate governance and opportunistic insider trade. In: China International Conference in Finance. Jiang, X.Q., Zaman, M.A., 2007. Aggregate insider trading and the predictability of market returns: contrarian strategy or managerial timing? <http://ssrn.com/ abstract=970987>. Jeng, 2003, Estimating the returns to insider trading: a performance-evaluation perspective, Rev. Econ. Stat., 85, 453, 10.1162/003465303765299936 Lakonishok, 2001, Are insider trades informative?, Rev. Financ. Stud., 14, 79, 10.1093/rfs/14.1.79 Li, 2011, An analysis of the effects and motivations of large shareholder purchasing, Chin. Soc. Sci., 4, 95 Lin, 2010, The pricing and timing of large shareholder selling – an empirical study based on block trades in the Shanghai and Shenzhen stock exchange, Secur. Market Herald, 10, 71 Pettit, 1995, Insider trading and long-run return performance, Financ. Manage., 24, 88, 10.2307/3665537 Ravina, 2010, What do independent directors know? Evidence from their trading, Rev. Financ. Study, 23, 962, 10.1093/rfs/hhp027 Seyhun, 1990, Overreaction or fundamentals: some lessons from insiders’ response to the market crash of 1987, J. Finance, 45, 1363, 10.1111/j.1540-6261.1990.tb03719.x Seyhun, 1992, Why does aggregate insider trading predict future stock returns?, Quart. J. Econ., 107, 1303, 10.2307/2118390 Seyhun, 1998 Shen, 2011, An empirical analysis of the factors which influence large shareholder selling, Chin. Ind. Econ., 1, 109 Wu, 2010, Large shareholder selling and tunneling, Chin. Ind. Econ., 5, 122 Zeng, 2008, Can insiders choose the timing of trade correctly in China?, Finance Res., 10, 117 Zhang, 2011, A study on insider relative trading, Finance Res., 3, 121 Zhu, 2011, Can executive trading predict future stock returns?, Manage. World, 9, 141 Zhu, 2011, A study on market reaction and the timing of large shareholder selling in the A-share market, J. Zhejiang Univ., 41, 159