{"id":25722,"date":"2019-11-21T10:17:31","date_gmt":"2019-11-21T15:17:31","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=25722"},"modified":"2022-11-21T09:44:38","modified_gmt":"2022-11-21T14:44:38","slug":"can-anomalies-survive-insider-disagreements","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/can-anomalies-survive-insider-disagreements\/","title":{"rendered":"Can Anomalies Survive Insider Disagreements"},"content":{"rendered":"\n<p><em>This post first appeared on <a href=\"https:\/\/alphaarchitect.com\/2019\/10\/30\/can-anomalies-survive-insider-disagreements\/\">Alpha Architect Blog<\/a><\/em><\/p>\n\n\n\n<p><strong>What is the relationship between insider trades and anomalies?<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\"><li>Anginer, Hoberg and Seyhun<\/li><li>A version of the paper can be found&nbsp;<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2625614\">here<\/a>.<\/li><li>Want to read our summaries of academic finance papers? Check out our&nbsp;<a href=\"https:\/\/alphaarchitect.com\/category\/architect-academic-insights\/academic-research-insight\">Academic Research Insight&nbsp;<\/a>category<\/li><\/ul>\n\n\n\n<p><strong>What are the research questions?<\/strong><\/p>\n\n\n\n<p>Anomalies such as&nbsp;<a href=\"https:\/\/alphaarchitect.com\/2014\/10\/02\/quantitative-value-research-low-pe\/\">Value<\/a>&nbsp;and&nbsp;<a href=\"https:\/\/alphaarchitect.com\/2015\/01\/06\/quantitative-momentum-research-intermediate-term-momentum\/\">Momentum<\/a>&nbsp;have been exploited for years, yet&nbsp;the source of these premiums emerged as a major unresolved puzzle. Potential explanations can be grouped into two broad categories: &#8220;compensation for risk&#8221; or \u201cmispricing\u201d.<\/p>\n\n\n\n<p>This paper studies this puzzle by investigating the relationship between insider trades and stock anomalies. Here\u2019s a&nbsp;<a href=\"https:\/\/alphaarchitect.com\/2015\/05\/04\/a-unique-insider-trading-signal-that-generates-alpha\/\">post<\/a>&nbsp;about Insider trading pattern, from which we cite the definition of \u201cInsiders\u201d:<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\"><p>\u201cInsiders\u201d are broadly defined under SEC regulations to be those who have \u201caccess to non-public, material, insider information.\u201d We perceive \u201cInsiders\u201d as more like officers who hold C-level positions in a company and usually can get access to information earlier than anyone else.<\/p><\/blockquote>\n\n\n\n<p>In other words, insiders are known as the investors best positioned to exploit mispricing of their own firm\u2019s stock. This paper hypothesizes that if insider trades systematically predict the direction of returns due to anomalies, then it is likely that anomalies are due to&nbsp;<strong>mispricing\/informational inefficiency<\/strong>.<\/p>\n\n\n\n<p>To be specific, the paper examines the predictability of anomalies when insiders agree or disagree with the direction of returns implied by a given anomaly.<\/p>\n\n\n\n<ul class=\"wp-block-list\"><li><strong>AGREE:<\/strong>&nbsp;if i) insiders are&nbsp;\u2018buyers\u2019&nbsp;of the stock and the anomaly signal&nbsp;predicts&nbsp;high&nbsp;returns, or ii) insiders are&nbsp;\u2018sellers\u2019&nbsp;of the stock and the anomaly signal&nbsp;predicts&nbsp;low&nbsp;returns.<\/li><li><strong>DISAGREE:<\/strong>&nbsp;if i) insiders are&nbsp;\u2018sellers\u2019&nbsp;of the stock and the anomaly signal&nbsp;predicts&nbsp;high&nbsp;returns, or ii) insiders are&nbsp;\u2018buyers\u2019&nbsp;of the stock and the anomaly signal&nbsp;predicts&nbsp;low&nbsp;returns.<\/li><li><strong>NEUTRAL:<\/strong>&nbsp;if If insiders are not buyers or sellers.<\/li><\/ul>\n\n\n\n<p><strong>The paper tests 13 anomalies:<\/strong><\/p>\n\n\n\n<ol class=\"wp-block-list\"><li>Post-earnings announcement drift (PEAD) \u2014&nbsp;<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/j.1475-679X.2006.00196.x\/abstract\">Livnat and Mendenhall (2006)<\/a><\/li><li>Net operating assets \u2014&nbsp;<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=404120\">Hirshleifer, Hou, Teoh and Zhang (2004)<\/a><\/li><li>Gross Profitability \u2014&nbsp;<a href=\"https:\/\/rnm.simon.rochester.edu\/research\/OSoV.pdf\">Novy-Marx (2013)<\/a><\/li><li>Return on assets \u2014<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/j.1540-6261.2008.01371.x\/abstract\">Fama and French (2008)<\/a><\/li><li>Investment in assets \u2014&nbsp;<a href=\"https:\/\/www.nber.org\/papers\/w9951\">Titman, Wei, and Xie (2004)<\/a><\/li><li>Assets growth \u2014&nbsp;<a href=\"https:\/\/www.krannert.purdue.edu\/faculty\/hgulen\/asset_growth.pdf\">Cooper, Gulen, and Schill (2008)<\/a><\/li><li>Book-to-market \u2014&nbsp;<a href=\"https:\/\/rady.ucsd.edu\/faculty\/directory\/valkanov\/pub\/classes\/mfe\/docs\/fama_french_jfe_1993.pdf\">Fama and French (1993)<\/a><\/li><li>Net stock issuance \u2014&nbsp;<a href=\"https:\/\/www2.bc.edu\/~pontiff\/Documents\/11_pontiff-woodgate.pdf\">Pontiff and Woodgate (2008)<\/a><\/li><li>Bankruptcy prediction scores (Ohlson\u2019s O-Score) \u2014&nbsp;<a href=\"https:\/\/teaching.ust.hk\/~ismt551j\/project2\/Ohlson.pdf\">Ohlson (1980)<\/a><\/li><li>Accruals \u2014&nbsp;<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=404120\">Hirshleifer, Hou, Teoh, and Zhang (2004)<\/a><\/li><li>Composite equity issuance \u2014&nbsp;<a href=\"https:\/\/www.kentdaniel.net\/papers\/published\/jf_06.pdf\">Daniel and Titman(2006)<\/a><\/li><li>Size \u2014&nbsp;<a href=\"https:\/\/rady.ucsd.edu\/faculty\/directory\/valkanov\/pub\/classes\/mfe\/docs\/fama_french_jfe_1993.pdf\">Fama and French (1993)<\/a><\/li><li>Momentum \u2014&nbsp;<a href=\"https:\/\/www.bauer.uh.edu\/rsusmel\/phd\/jegadeesh-titman93.pdf\">Jegadeesh and Titman (1993)<\/a><\/li><\/ol>\n\n\n\n<p>See the full post on Alpha Architect Blog: <br><a href=\"https:\/\/alphaarchitect.com\/2019\/10\/30\/can-anomalies-survive-insider-disagreements\/\">https:\/\/alphaarchitect.com\/2019\/10\/30\/can-anomalies-survive-insider-disagreements\/<\/a> <\/p>\n","protected":false},"excerpt":{"rendered":"<p>Anomalies such as Value and Momentum have been exploited for years, yet the source of these premiums emerged as a major unresolved puzzle. Potential explanations can be grouped into two broad categories: \u201ccompensation for risk\u201d or &#8220;mispricing&#8221;.<\/p>\n","protected":false},"author":87,"featured_media":25708,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[339,343,349,338,350,341,344],"tags":[851,4923,4922,494,4921],"contributors-categories":[13651],"class_list":{"0":"post-25722","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"has-post-thumbnail","7":"category-data-science","8":"category-programing-languages","9":"category-python-development","10":"category-ibkr-quant-news","11":"category-quant-asia-pacific","12":"category-quant-development","13":"category-quant-regions","14":"tag-algo-trading","15":"tag-computational-finance","16":"tag-econometrics","17":"tag-quant","18":"tag-quantitative-finance","19":"contributors-categories-alpha-architect"},"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- 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