주가급락 전의 내부자거래 행태에 관한 연구

• 영문명: A Study on the Behavior of Insiders before Stock Price Crashes
• 발행기관: 한국무역연구원
• 저자명: 김종오(Jong-Oh Kim)
• 간행물 정보: 『무역연구』제13권 제1호, 663~680쪽, 전체 18쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2017.02.28

영문 초록

This paper examine the information content of insider trading before a large drop in the stock price. Using insider trading data from Korea between 2005 and 2014, I find that largest shareholders tend to sell far before a stock price crash, while other types of insiders, including other large shareholders and executives, are more likely to sell immediately prior to a crash. Findings reveal that sales by top shareholders in the distant past is positively correlated with the likelihood of a crash, while sales by insiders in the recent past is not significantly associated with the probability of a crash. On the contrary , sales by other insiders in the distant past is negatively correlated with the likelihood of a crash, and sales in the recent past is positively correlated with the likelihood of a crash. These findings suggest that top shareholders appear to be aware of the effect of their selling on litigation risk and thus reduce their opportunistic sales prior to a crash. On the other hand , low litigation-risk insiders sell opportunistically. Also, this finding appears to be stronger in firms with access to more private information.

목차

I. 서론

Ⅱ. 선행연구 및 연구가설

Ⅲ. 표본 및 방법론

Ⅳ. 실증분석 결과

Ⅴ. 결론

키워드

Capital Market Act Crash Insider Trading Litigation Risk Silent Effect