We test a trading strategy based on SEC Form 4 insider trading filings in the post Sarbanes–Oxley Act period. Using intraday data, we analyze whether a prompt reaction to the announcement would earn abnormal returns. We find positive but lower abnormal percentage returns than in previous studies for short holding periods, but they vanish and even become negative when limiting the tradable dollar amount for each trading signal to a reasonable size. Moreover, we find that the returns in our setup are negatively correlated with stock liquidity, almost negating a potentially profitable and scalable trading strategy even before considering transaction costs.

中文翻译：

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作为交易信号的内幕申报 — 快速值得吗？


我们根据 SEC 表格 4 在后萨班斯-奥克斯利法案期间提交的内幕交易文件测试了交易策略。使用盘中数据，我们分析了对公告的迅速反应是否会获得异常回报。我们发现，与以前的研究相比，短期持有的异常百分比回报为正但较低，但当将每个交易信号的可交易美元金额限制在合理的规模时，它们会消失，甚至变为负数。此外，我们发现我们设置中的回报与股票流动性呈负相关，甚至在考虑交易成本之前，几乎否定了潜在盈利和可扩展的交易策略。