The dog that did not bark: Insider trading and crashes

Journal of Finance

Volumn 63, Issue 5, 2008, Pages 2429-2476

  Marin, Jose M ^a   Olivier, Jacques P ^b  

^a IE BUSINESS SCHOOL   (Spain)

^b CEPR   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 51749121378     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2008.01401.x     Document Type: Article

References (26)

1. Allen, Franklin, and Douglas Gale, 2000, Bubbles and crisis, Economic Journal 110, 236 255.
2. Allen, Franklin, Stephen Morris, and Andrew Postlewaite, 1993, Finite bubbles with short sale constraints and asymmetric information, Journal of Economic Theory 61, 206 229.
3. Barlevy, Gady, and Pietro Veronesi, 2003, Rational panics and stock market crashes, Journal of Economic Theory 110, 234 263.
4. Basak, Suleyman, David Cass, Juan Licari, and Anna Pavlova, 2006, Multiplicity and sunspots in general financial equilibrium with portfolio constraints, Working paper, University of Pennsylvania.
5. Bhattacharya, Utpal, and Matthew Spiegel, 1991, Insiders, outsiders and market breakdowns, Review of Financial Studies 4, 255 282.
6. Cao, Henry H., Joshua D. Coval, and David Hirshleifer, 2002, Sidelined investors, trading-generated news, and security returns, Review of Financial Studies 15, 615 648.
7. Chamberlain, Gary, 1980, Analysis of covariance with qualitative data, Review of Economic Studies 47, 225 238.
8. Chen, Joseph, Harrison Hong, and Jeremy Stein, 2001, Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345 381.
9. Conrad, Jennifer, and Gautam Kaul, 1993, Long-term market overreaction or biases in computed returns? Journal of Finance 48, 39 63.
10. Devenou, Andrea, and Ivo Welch, 1996, Rational herding in financial economics, European Economic Review 40, 603 615.
11. Fidrmuc, Jana, Marc Goergen, and Luc Renneboog, 2006, Insider Trading, News Releases and Ownership Concentration, Journal of Finance 61, 2931 2973.
12. Friederich, Sylvain, Alan Gregory, John Matatko, and Ian Tonks, 2002, Short-run returns around the trades of corporate insiders on the London Stock Exchange, European Financial Management 8, 7 30.
13. Gennotte, Gerard, and Hayne Leland, 1990, Market liquidity, hedging and crashes, American Economic Review 80, 999 1021.
14. Grossman, Sanford J., and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393 408.
15. Hong, Harrison, Jose Scheinkman, and Wei Xiong, 2006, Asset float and speculative bubbles, Journal of Finance 61, 1073 1117.
16. Hong, Harrison, and Jeremy Stein, 2003, Differences of opinion, short-sales constraints, and market crashes, Review of Financial Studies 16, 487 525.
17. Jeng, Leslie, Andrew Metrick, and Richard Zeckhauser, 2003, Estimating the returns to insider trading: A performance evaluation perspective, Review of Economics and Statistics 85, 453 471.
18. Lakonishok, Josef, and Inmoo Lee, 2001, Are insider trades informative? Review of Financial Studies 14, 79 111.
19. Marin, Jose M., and Rohit Rahi, 2000, Information revelation and market incompleteness, Review of Economic Studies 67, 563 579.
20. Meulbroek, Lisa K., 1992, An empirical analysis of illegal insider trading, Journal of Finance 47, 1661 1699.
21. Radner, Roy, 1979, Rational expectations equilibrium: Generic existence and the information revealed by prices, Econometrica 47, 655 678.
22. Romer, David, 1993, Rational asset-price movements without news, American Economic Review 83, 1112 1130.
23. Smith, Vernon, Gerry Suchanek, and Arlington Williams, 1988, Bubbles, crashes, and endogenous expectations in experimental spot asset markets, Econometrica 56, 1119 1151.
24. Wooldridge, Jeffrey, 2002, Econometric Analysis of Cross Section and Panel Data (MIT Press, Cambridge, MA).
25. Yuan, Kathy, 2005, Asymmetric price movements and borrowing constraints: A rational expectations equilibrium model of crises, contagion, and confusion, Journal of Finance 60, 379 411.
26. Yuan, Kathy, 2006, The price impact of borrowing and short-sale constraints, Working paper, University of Michigan.