Empirical Evidence on the Impact of European Insider Trading Regulations

Studies in Economics and Finance

Volumn 20, Issue 1, 2002, Pages 12-34

  Estrada, Javier ^a   Peña, J Ignacio ^b  

^a IESE BUSINESS SCHOOL   (Spain)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84993030407     PISSN: 10867376     EISSN: None     Source Type: Journal    
DOI: 10.1108/eb028757     Document Type: Review

References (29)

1. Akgiray, Vedat (1989). “Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts.” Journal of Business, 62, 55-80.
2. Black Fisher (1976) “Studies of Stock Market Volatility Changes.” Proceedings of the American Statistical Association, Business and Economics Studies Section, 177-81.
3. Bollerslev, Tim (1986). “Generalised Autoagressive Conditional Heteroskedasticity.” Journal of Econometics, 31, 307-327.
4. Bollerslev, Tim, Ray Chou, and Kenneth Kroner (1992). “ARCH Modeling in Finance. A Review of the Theory and Empirical Evidence.” Journal of Economics, 52, 5-59.
5. Brown, Stephen and Jerold Warner (1985). “Using Daily Stock Returns. The case of Event Studies.” Journal of Financial Economics, 14, 3-31.
6. Brudney, Victor (1979). “Insiders, Outsiders, and Informational Advantages Under the Federal Securities Laws.” Harvard Law Review, 93, 322-376.
7. Cornell, Bradford, and Erik Sirri (1992). “The Reaction of Investors and Stock Prices to Insider Trading.” Journal of Finance, 47, 1031-1059.
8. Corrado, Charles (1989). “A Nonparametric Test for Abnormal Security-Price Performance in Event Studies.” Journal of Financial Economics, 23, 385-395.
9. Engle, Robert (1982). “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation.” Econometrica, 50, 987-1008.
10. Engle, Robert, and Tim Bollerslev (1986). “Modeling the Persistence of Conditional Variances.” Econometric Reviews, 5, 1-50.
11. Engle, Robert, David Lillien, and Russell Robbins (1987). “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model.” Econometrica, 55, 391-407.
12. Estrada, Javier (1994). “Insider Trading: Regulation, Deregulation, and Taxation.” Swiss Review of Business Law, 5/94, 209.
13. Estrada, Javier (1995). “Insider Trading: Regulation, Securities Markets, and Welfare Under Risk Aversion.” Quarterly Review of Economics and Finance, 35, 421.
14. Finnerty, Joseph (1976). “Insiders and Market Efficiency.” Journal of Finance, 31, 1141-48.
15. Gaillard, Emmanuel (1992). Insider Trading. The Laws of Europe, the United States and Japan. Kluwer Law and Taxation.
16. Jaffe, Jeffrey (1974). “The Effect of Regulation Changes on Insider Trading.” Bell Journal of Economics and Management Science, 5, 93-121.
17. Jarrell, Gregg, and Annete Poulsen (1989). “Stock Trading Before the Announcement of Tender Offers: Insider Trading or Market Anticipation?” Journal of Law, Economics, and Organization, 5, 225-248.
18. John, Kose, and Larry Lang (1991). “Insider Trading Around Dividend Announcements: Theory and Evidence.” Journal of Finance, 46, 1361-1390.
19. Keown, Arthur, and John Pinkerton (1981). “Merger Announcements and Insider Trading Activity: An Empirical Investigation.” Journal of Finance, 36, 855-869.
20. Leland, Hayne (1992). “Insider Trading: Should It Be Prohibited?” Journal of Political Economy, 100, 859-887.
21. Lo, Andrew, and Craig MacKinlay (1990). “An Econometric Analysis of Nonsynchronous Trading.” Journal of Econometrics, 45, 181.
22. Macey, Jonathan (1991). Insider Trading. Economics, Politics and Policy. American Enterprise Institute for Public Policy Research.
23. Mandelbrot, Benoit (1963). “The Variation of Certain Speculative Prices.” Journal of Business, 36, 394-419.
24. Manne, Henry (1966). Insider Trading and the Stock Market. The Free Press, New York.
25. Meulbroek, Lisa (1992). “An Empirical Analysis of Illegal Insider Trading.” Journal of Finance, 47, 1661-1699.
26. Nelson, Daniel (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica, 59, 347-370.
27. Scholes, Myron, and Joseph Williams (1987). “Estimating Betas From Nonsynchronous Data.” Journal of Financial Economics, 5, 309-327.
28. Seyhun, Nejat (1992). “The Effectiveness of the Insider-Trading Sanctions.” Journal of Law and Economics, 35, 149-182.
29. Standen, Daniel (1995). “Insider Trading Reforms Sweep Across Germany: Bracing for the Cold Winds of Change.” Harvard International Law Journal, 36, 177-206.