scholarly journals Price Revelation from Insider Trading: Evidence from Hacked Earnings News

2021 ◽  
Author(s):  
Pat Akey ◽  
Vincent Grégoire ◽  
Charles Martineau
Keyword(s):  
Machine Learning ◽  
Financial Markets ◽  
Insider Trading ◽  
Private Information ◽  
Natural Experiment ◽  
Qualitative Information ◽  
Qualitative And Quantitative ◽  
Earnings Information ◽  
Private Signals

From 2010 to 2015, a group of traders illegally accessed earnings information before their public release by hacking several newswire services. We use this scheme as a natural experiment to investigate how informed investors select among private signals and how efficiently financial markets incorporate private information contained in trades into prices. We construct a measure of qualitative information using machine learning and find that the hackers traded on both qualitative and quantitative signals. The hackers’ trading caused 15% more of the earnings news to be incorporated in prices before their public release. Liquidity providers responded to the hackers’ trades by widening spreads.

Opportunities for improving the insider laws: A comparative analysis of the practice in the USA and Russia

2020 ◽  
Vol 26 (4) ◽  
pp. 796-814
Author(s):  
E.K. Ovakimyan
Keyword(s):  
Financial Markets ◽  
Insider Trading ◽  
Negative Impact ◽  
Business Environment ◽  
Market Manipulation ◽  
Insider Information ◽  
Analysis And Synthesis ◽  
The Usa ◽  
Legislative Perfection ◽  
Definition Of

Subject. The article examines the laws regulating insider trading. Objectives. The study outlines recommendations for refining Law On Countering the Illegal Use of Insider Information and Market Manipulation and Amendments to Some Legislative Acts of the Russian Federation, № 224-ФЗ of July 27, 2010. Methods. The methodological framework includes a general dialectical method, analysis and synthesis, induction and deductions, and some specific methods, such as comparative and formal logic analysis to specify the definition of insider information, structural logic and functional analysis to improve the mechanism for countering insider trading and market manipulation. Results. We discovered key drawbacks to be addressed so as to improve the business environment in Russia. Although the Russia laws mainly mirror the U.S. laws, they present a more extended list of terms concerning the insider information. I believe the legislative perfection should be continued. Conclusions and Relevance. The study helps apply the findings to outline a new legislative regulation or amend the existing ones, add a new mention on the course of financial markets to students’ books, develop new methods for detecting and countering and improving the existing ones. If all parties to insider relationships use the findings, they will prevent insider trading crimes in financial markets and (or) reduce the negative impact of such crimes on the parties.

Analysts' Information Acquisition and Stock Price Synchronicity: A Regulatory Perspective from China

2018 ◽  
Vol 33 (1) ◽  
pp. 153-179 ◽  
Author(s):  
Haiyan Jiang ◽  
Donghua Zhou ◽  
Joseph H. Zhang
Keyword(s):  
Insider Trading ◽  
Private Information ◽  
Stock Prices ◽  
Information Acquisition ◽  
Stock Price ◽  
Specific Information ◽  
Stock Price Synchronicity ◽  
Playing Field ◽  
Information Advantage ◽  
Private Information Acquisition

SYNOPSIS Against the backdrop of the Chinese Directive 40 (China's Reg FD) issued in 2007 as an attempt to curb insider trading and to level the information playing field, this study investigates whether analysts' private information acquisition influences the extent to which firm-specific information is impounded into stock prices, i.e., stock price synchronicity, and how the restrictions on selective disclosures imposed by Directive 40 have shaped the relationship between analyst information acquisition and synchronicity. Using a pre-Directive 40 sample, we show that synchronicity is negatively related to analysts' private information acquisition, which provides support for the “information advantage” argument of analysts' information production. However, the ability of analysts' private information acquisition in improving firm-specific information incorporated into stock price is mitigated post-Directive 40 due to a restriction on selective disclosures and/or private communication. Moreover, we find that this regulatory impact varies for firms being followed by affiliated analysts versus non-affiliated analysts. JEL Classifications: G14; G15; G17; G18.

scholarly journals Just How Serious is Insider Trading? An evaluation using thoroughbred wagering markets

2013 ◽  
Vol 2 (3) ◽  
pp. 85-100
Author(s):  
Les Coleman
Keyword(s):  
Financial Markets ◽  
Insider Trading ◽  
Good Data ◽  
Betting Market ◽  
The University ◽  
Significant Support ◽  
Natural Laboratory

This paper quantifies the extent and changes in insider trading in the Melbourne racetrack betting market using a unique, long term dataset. Wagering markets share many of the characteristics of other financial markets, and are simple, with good data and a designated endpoint. Thus they are an excellent natural laboratory to study what is probably happening in qualitatively similar conventional markets. Results of this paper provide statistically significant support for hypotheses supporting the existence and increase in level of insider trading, and suggest that around two percent of betting is by insiders.Research for this paper was supported by a grant from the Economics and Commerce faculty at the University of Melbourne, and was conducted very efficiently by Andrew Saunderson. Dr Ian O’Connor provided excellent assistance with analysis of data. I am grateful for valuable comments from the Journal’s editor and an anonymous reviewer, and from delegates to the 2004 Australasian Finance and Banking Conference where an early version of this paper was presented. All remaining errors and omissions are mine.

Uncertainty and Velocity

2016 ◽  
Author(s):  
Martin Shubik ◽  
Eric Smith
Keyword(s):  
Financial Markets ◽  
Stochastic Analysis ◽  
Control Mechanisms ◽  
Qualitative And Quantitative ◽  
Monetary Systems ◽  
Monetary Economy ◽  
Velocity Of Money ◽  
Quantitative Properties ◽  
Complex Features ◽  
And Control

In this chapter the two features of uncertainty and the variability of the velocity of money are considered. Both of these are fundamental to considering the more subtle features of a monetary economy. They are interlinked and both add further complex features to the information, perception and control mechanisms of modern monetary systems. There has been an explosive development in the study of both the qualitative and quantitative properties of risk. The power of careful modeling and sophisticated stochastic analysis has already shown itself in the context of the stockmarket and other financial markets, but as the various qualitative aspects of risk are being uncovered and made well-defined, the scope of a useful econo-physics stretches far beyond the confines of the dynamics of paper traded on paper in the financial markets to the broad control mechanisms of the economy as a whole.

scholarly journals Learning from prices: information aggregation and accumulation in an asset market

2020 ◽  
Author(s):  
Michele Berardi
Keyword(s):  
Private Information ◽  
Dynamic Properties ◽  
Public Information ◽  
Information Aggregation ◽  
Time Varying ◽  
Private Signals ◽  
Private And Public ◽  
Fundamental Value ◽  
Over Time

Abstract Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two potential signals each period: one exogenous and private and the other, prices, endogenous and public. Prices aggregate private information but include aggregate noise. Information can accumulate over time both through endogenous and exogenous signals. With a constant fundamental, the precision of both private and public cumulative information increases over time but agents put progressively more weight on the endogenous signals, asymptotically disregarding private ones. If the fundamental is time-varying, the use of past private signals complicates the role of prices as a source of information, since it introduces endogenous serial correlation in the price signal and cross-correlation between it and innovations in the fundamental. A modified version of the Kalman filter can still be used to extract information from prices and results show that the precision of the endogenous signals converges to a constant, with both private and public information used at all times.

No-Trade in the Laboratory

2011 ◽  
Vol 11 (1) ◽  
Author(s):  
Marco Angrisani ◽  
Antonio Guarino ◽  
Steffen Huck ◽  
Nathan C Larson
Keyword(s):  
Financial Markets ◽  
Private Information ◽  
The Other ◽  
Gains From Trade ◽  
Experimental Markets ◽  
Asset Value ◽  
Market Feedback ◽  
Experimental Treatments ◽  
Zero Sum ◽  
Over Time

We construct laboratory financial markets in which subjects can trade an asset whose value is unknown. Subjects receive private clues about the asset value and then set bid and ask prices at which they are willing to buy or to sell from the other participants. In some of our markets (experimental treatments), there are gains from trade, while in others there are no gains: trade is zero sum. Celebrated no-trade theorems state that differences in private information alone cannot explain trade in the zero sum case. We study whether purely informational trade is eliminated in our experimental markets with no gains. The comparison of our results for gains and no-gains treatments shows that subjects fail to reach the no-trade outcome by pure introspection, but they approach it over time through market feedback and learning. Furthermore, the less noisy the clue-asset relationship is, the closer trade comes to being eliminated entirely.

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