Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis
We investigate the impact of compulsory insider-trading disclosure and its combination with a mandatory holding rule on price predictability and asset mispricing. We modify the dynamic price-adjustment model to account for insiders’ private information. Our results show that insiders produce weakly-...
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| Main Authors: | , |
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| 其他作者: | |
| 格式: | Article |
| 語言: | English |
| 出版: |
2022
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/154888 |
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| 機構: | Nanyang Technological University |
| 語言: | English |
| 總結: | We investigate the impact of compulsory insider-trading disclosure and its combination with a mandatory holding rule on price predictability and asset mispricing. We modify the dynamic price-adjustment model to account for insiders’ private information. Our results show that insiders produce weakly-characterized price signals that induce a less than proportional price adjustment to the changes in the dividend value, in both markets with disclosure rule and holding requirement, in comparison with unregulated markets. A shift in insiders’ strategies from information-motivated to liquidity-motivated trading appears to fuel the impairment of price predictability in regulated markets. The exacerbation of asset mispricing in markets with holding restriction is characterized by a growth in the speculative transactions and loss-making trading proposals. |
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