Two essays on insider trading: Empirical examinations of long-run insider returns and insiders' options exercise behavior.

摘要

Numerous studies to date have addressed short-term returns earned by insiders with mixed results. Longer-term performance of executives and directors, however, has not been addressed in the literature. In essay one, I investigate whether insiders actually earn abnormal returns in the long-run by deriving a more accurate and comprehensive measure of insiders' realized returns. Key results from insiders' dollar-weighted returns, which explicitly account for capital flow timing and magnitude from all SEC-reported insider transactions, show that insiders fail to earn abnormal returns in their overall portfolio during their tenure with the firm. In essay two, I examine option exercise behaviors that have not been addressed in prior literature. This includes an analysis of exercised options and available-but-unexercised options, a comparison between multiple and single exercises, as well as a comparison between fractional and full exercises. I also investigate factors associated with the decision to exercise, the decision to exercise multiple options, and the decision to exercise the entire option grants at each exercise date.