Relevant bibliographies by topics / Insider econometrics

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Reports

Academic literature on the topic 'Insider econometrics'

Author: Grafiati
Published: 4 June 2021
Last updated: 18 June 2025

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Journal articles on the topic "Insider econometrics"

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Teodorovicz, Thomaz, Sandro Cabral, and Sergio Lazzarini. "Insider econometrics: a guide to management scholars." RAUSP Management Journal 54, no. 4 (2019): 446–58. http://dx.doi.org/10.1108/rausp-05-2019-0116.

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Purpose This paper aims to present a new trend in management research: the Insider Econometrics approach. Design/methodology/approach The authors argue that the use of internal organizational data not available in public sources can benefit both researchers interested in advancing theories and practitioners interested to improve the decision-making toward more solid and evidence-based grounds. Findings The authors demonstrate the subjects involved in Insider Econometrics realm and provide a framework to guide management scholars to successfully engage in research involving strong partnerships between academia and real world organizations. Originality/value This paper introduces a guide to Insider Econometric research to management scholars.
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Frick, Bernd, and Oliver Fabel. "Special issue “Insider Econometrics”." Journal of Business Economics 83, no. 2 (2013): 99–100. http://dx.doi.org/10.1007/s11573-013-0653-9.

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Firth, Michael, T. Y. Leung, and Oliver M. Rui. "Insider Trading in Hong Kong: Tests of Stock Returns and Trading Frequency." Review of Pacific Basin Financial Markets and Policies 14, no. 03 (2011): 505–33. http://dx.doi.org/10.1142/s0219091511002317.

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The main purpose of this paper is to examine the legal insider trading activities by directors of companies listed on the Hong Kong Exchange over the period 1993 to 1999. One characteristic of insider trading in Hong Kong is the high frequency of transactions and the large amounts of money involved. Inside purchases appear to signal and correct undervaluation and inside sales appear to signal and correct overvaluation. In contrast to research from Britain and the United States, insider sales are more informative than purchases. On average, insiders earn HK$91,297 per trade, while outsiders who mimic insiders' transactions earn minimal returns. Many firms suffer from infrequent trading and our results are consistent with directors engaging in inside transactions so as to help create a market for the shares. In additional tests, we find that the frequency of insider trading is a function of information asymmetry.
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Bartel, Ann, Casey Ichniowski, and Kathryn Shaw. "Using “Insider Econometrics” to Study Productivity." American Economic Review 94, no. 2 (2004): 217–23. http://dx.doi.org/10.1257/0002828041302145.

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Dalko, Viktoria, and Michael H. Wang. "Why is insider trading law ineffective? Three antitrust suggestions." Studies in Economics and Finance 33, no. 4 (2016): 704–15. http://dx.doi.org/10.1108/sef-03-2016-0074.

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Purpose The purpose of this paper is to uncover the essence of insider trading, explain why insider trading law is ineffective and provide implications of the effectiveness of the law. Design/methodology/approach This conceptual paper offers three propositions. The first two are based on a literature review of 62 articles in empirical research to develop an understanding of the essence of insider trading and identify the areas in which insider trading is ineffective. This analysis is used in the third proposition to provide a direction in suggesting effective measures to improve insider trading law. Findings The essence of insider trading is that corporate insiders exercise informational monopoly power over their trades. This understanding explains why insider trading law is ineffective because it has not taken away the monopoly power that corporate insiders possess and exercise. This understanding also leads to three antitrust suggestions aimed at improving insider trading law. Practical implications The findings may provide assistance to the lawmakers and regulators to make insider trading law more effective and enforcement more simplified. Originality/value This paper is of value to other researchers attempting to understand the essence of insider trading and to policymakers concerned about the existence of monopolistic behavior in the equity market and income inequality due to corporate insiders’ trading profit.
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Stotz, Olaf. "Germany’s New Insider Law: The Empirical Evidence after the First Year." German Economic Review 7, no. 4 (2006): 449–62. http://dx.doi.org/10.1111/j.1468-0475.2006.00129.x.

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Abstract This paper investigates insider trading activities in German stocks during the first year following implementation of the new Insider Law on 1 July 2002. It can be observed that insiders act as contrarian investors. They buy stocks after prices have fallen and sell stocks after prices have risen. In general, insider trades are very profitable. A typical stock purchased by an insider yields an abnormal return of almost 3 per cent during the 25 days following the transaction. In contrast, a typical stock that has been sold by insiders achieves an abnormal return of nearly -3 per cent over the same time period. Outsiders who copy the transactions of insiders can achieve nearly the same abnormal returns. Abnormal returns remain substantial even after transaction costs. The results suggest that prices of stocks in which insiders trade do not seem to be semi-strong efficient.
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Stotz, Olaf. "Do Retail Investors Follow Insider Trades?" German Economic Review 13, no. 3 (2012): 257–74. http://dx.doi.org/10.1111/j.1468-0475.2011.00556.x.

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Abstract On the basis of transaction records of retail investors provided by a large financial institution, this article analyzes whether, in the aggregate, retail investors do copy insider trades. The results suggest that insider trades are indeed an important piece of information for the transactions of retail investors, whose buy-sell imbalances (BSIs) increase in stocks which insiders buy, and whose BSIs decrease following insider sales. These results are robust when considering stock characteristics and general attention effects. With regard to trading insider stocks, retail investors’ preferences for growth and attention are less pronounced when compared with trades of noninsider stocks.
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Díaz-Vázquez, Pilar, and Dennis J. Snower. "Can Insider Power Affect Employment?" German Economic Review 4, no. 2 (2003): 139–50. http://dx.doi.org/10.1111/1468-0475.00076.

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Abstract Do firms reduce employment when their insiders (established, incumbent employees) claim higher wages? The conventional answer in the theoretical literature is that insider power has no influence on employment, provided that the newly hired employees (entrants) receive their reservation wages. The reason given is that an increase in insider wages gives rise to a countervailing fall in reservation wages, leaving the present value of wage costs unchanged. Our analysis contradicts this conventional answer. We show that, in the context of a stochastic model of the labor market, an increase in insider wages promotes firing in recessions, while leaving hiring in booms unchanged. Thereby insider power reduces average employment.
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Banerjee, Ajeyo, and E. Woodrow Eckard. "Why Regulate Insider Trading? Evidence from the First Great Merger Wave (1897–1903)." American Economic Review 91, no. 5 (2001): 1329–49. http://dx.doi.org/10.1257/aer.91.5.1329.

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We use event-time methodology to study legal insider trading associated with mergers circa 1900. For mergers with “prospective” disclosures similar to today's, we find substantial value gains at announcement, implying participation by “out-side” shareholders despite the absence of insider constraints. Furthermore, preannouncement stock-price runups, relative to total value gain, are no more than those observed for modern mergers. Insider regulation apparently has produced little benefit for outsiders, with the inside information-pricing function and related gains shifting to external “information specialists.” Other results suggest market penalties for nondisclosure; i.e., insider trading is less successful in a restricted information environment. (JEL G3, K2, L5, N2)
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Beason, Richard, Tu Thi Thanh Tran, Dong Phuong Dao, and Hong Minh Nguyen. "Insiders, Outsiders and Performance of Vietnamese Firms." Gadjah Mada International Journal of Business 24, no. 3 (2022): 324. http://dx.doi.org/10.22146/gamaijb.65194.

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The consensus in the finance literature is that a large proportion of inside ownership (defined as greater than 5% share ownership by non-institutional holders, managerial holdings, founding family holdings, cross-shareholdings by affiliated firms and ownership by creditors) tends to be associated with more unsatisfactory performance (as measured by ROE or ROA) when compared to firms with lower inside ownership, all else equal. However, this need not be the case if insiders act as monitors of the firm and have the same interest in returns as outsiders. Ownership structure and firm level financial performance have not been widely studied in Vietnam. Using data from 729 listed firms in Vietnam for 2018, we test the hypothesis that greater insider ownership has a negative impact on firm performance. We found that Vietnam's insiders play a monitoring role, exercising their relative power to ensure the firm's profitable functioning. These findings are inconsistent with research on Japanese groupings, as well as other findings. The Vietnamese stock market does not appear to be negatively affected by insider influence; indeed, insiders appear to act as positive monitors.
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Dissertations / Theses on the topic "Insider econometrics"

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Clark, Stephen Rhett. "Essays in insider trading, informational efficiency, and asset pricing." Diss., University of Iowa, 2014. https://ir.uiowa.edu/etd/1306.

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In this dissertation, I consider a range of topics related to the role played by information in modern asset pricing theory. The primary research focus is twofold. First, I synthesize existing research in insider trading and seek to stimulate an expansion of the literature at the intersection of work in the insider trading and financial economics areas. Second, I present the case for using Peter Bossaerts's (2004) Efficiently Learning Markets (ELM) methodology to empirically test asset pricing models. The first chapter traces the development of domestic and international insider trading regulations and explores the legal issues surrounding the proprietary nature of information in financial markets. I argue that, practically, the reinvigoration of the insider trading debate is unfortunate because, in spite of seemingly unending efforts to settle the debate, we are no closer to answering whether insider trading is even harmful, much less worthy of legal action. In doing so, I challenge the conventional wisdom of framing insider trading research as a quest for resolution to the debate. By adopting an agnostic perspective on the desirability of insider trading regulations, I am able to clearly identify nine issues in this area that are fruitful topics for future research. The second chapter studies prices and returns for movie-specific Arrow-Debreu securities traded on the Iowa Electronic Markets. The payoffs to these securities are based on the movies' initial 4-week U.S. box office receipts. We employ a unique data set for which we have traders' pre-opening forecasts to provide the first direct test of Bossaerts's (2004) ELM hypothesis. We supplement the forecasts with estimated convergence rates to examine whether the prior forecast errors affect market price convergence. Our results support the ELM hypothesis. While significant deviations between initial forecasts and actual box-office outcomes exist, prices nonetheless evolve in accordance with efficient updating. Further, convergence rates appear independent of both the average initial forecast error and the level of disagreement in forecasts. Lastly, the third chapter revisits the theoretical justifications for Bossaerts's (2004) ELM, with the goal of providing clear, intuitive proofs of the key results underlying the methodology. The seemingly biggest hurdle to garnering more widespread adoption of the ELM methodology is the confusion that surrounds the use of weighted modified returns when testing for rational asset pricing restrictions. I attack this hurdle by offering a transparent justification for this approach. I then establish how and why Bossaerts's results extend from the case of digital options to the more practically relevant class of all limited-liability securities, including equities. I conclude by showing that the ELM restrictions naturally lend themselves to estimation and testing of asset pricing models, using weighted modified returns, in a Generalized Method of Moments (GMM) framework.
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Schmidt, Junior Reno. "Existe um trade-off entre supervisão e salário? : evidências para uma firma metal mecânica." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2014. http://hdl.handle.net/10183/103916.

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O objetivo dessa dissertação foi testar a existência de um trade-off entre supervisão e salário em uma firma do ramo metal mecânico brasileiro, chamada Bruning Tecnometal Ltda. Foram examinados e testados os efeitos sobre o desempenho e a produtividade dos trabalhadores após a uma alteração no grau de supervisão na linha de montagem de tanques de combustível em alumínio. A experiência do caso Bruning corrobora as hipóteses da teoria de salário eficiência (shirking), a qual aponta que um aumento no grau de supervisão reduz o “corpo mole” dos trabalhadores e o comportamento de moral hazard. Os resultados indicaram que existe uma relação negativa entre supervisão e salário, sendo assim, cabe à firma escolher entre aumentar a supervisão ou aumentar os salários para manter o mesmo nível de esforço. O estudo de caso da Bruning, assim, é consistente com as predições geradas pelo modelo shirking referente aos salários eficiência.<br>The objective of this dissertation was testing the existence of a trade-off between supervision and wages in a Brazilian metal mechanical industry, called Bruning Tecnometal Ltda. Were examined and analyzed the effects of employees performance and productivity who were facing a changing in the degree of supervision in the production line of aluminum fuel tanks. The experience of Bruning’s case strongly corroborates with the relevance of the theory of efficiency wages (shirking), which indicates that an increase in the degree of supervision reduces the shirking of workers and the behavior of moral hazard. The dissertation concludes that there is a negative relation between wages and supervision, so that, it is the company responsibility to choose between increasing supervision or raising wages, to maintain the same effort level. This case thus is consistent with the predictions generated by the model regarding the shirking efficiencywages.
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Boff, Diego. "Sinal econômico tarifário como ferramenta para a eficiência das distribuidoras de energia elétrica : um estudo de caso." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2017. http://hdl.handle.net/10183/168618.

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O objetivo desta dissertação é testar a hipótese sobre a resposta dos consumidores devido a uma alteração no sinal econômico horário das tarifas de energia elétrica. Foram examinados e testados os efeitos sobre a forma de uso de energia elétrica de 218 consumidores da empresa AES Sul para o período de janeiro de 2012 a maio de 2016, com marco na alteração tarifária a partir de abril de 2013, proposta com base na teoria de peak load pricing (preço de pico). A experiência deste caso corrobora com as hipóteses desta teoria, no qual aponta que os preços devem guardar reação com o custo marginal de atendimento e, é maior nos horários de pico. A hipótese foi testada usando o método econométrico de diferenças em diferenças, cujos resultados foram robustos ao mostrar que a alteração do sinal econômico influenciou o comportamento dos consumidores, melhorando a forma de utilização dos ativos de energia elétrica, aumentando os lucros da firma.<br>The objective of this dissertation is testing the hypotheses of consumers response due to a change in the hourly economic rates given through electrical energy tariffs. The effects in the form of using electrical energy of 218 consumers of the company AES Sul, due to the amendment occurred in the economic signal from April 2013 based on peak load pricing theory, were examined and tested using their data from January 2012 to May 2016. The experience of this case corroborates with the hypotheses of this theory, which indicates that prices must be linked to supply marginal cost, which is bigger at peak hours. The presented hypotheses was tested using the differences in differences econometric method, which results turned to be robust about the change in economic signal strongly influences on consumers behaviors, improving the usage of electrical assets, arising profits.
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Böddeker, Konstantin [Verfasser]. "The economic and social determinants of employee behavior: evidence from insider econometric studies / Konstantin Böddeker." Paderborn : Universitätsbibliothek, 2016. http://d-nb.info/1102246328/34.

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Books on the topic "Insider econometrics"

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Ichniowski, Casey. Insider econometrics: Empirical studies of how management matters. National Bureau of Economic Research, 2009.

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Jeng, Leslie A. The profits to insider trading: A performance-evaluation perspective. National Bureau of Economic Research, 1999.

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Lakonishok, Josef. Are insiders' trades informative? National Bureau of Economic Research, 1998.

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Krishnan, Murugappa. Insider trading and asset pricing in an imperfectly competitive multi-security market. Institute for Research in the Behavioral, Economic, and Management Sciences, Krannert Graduate School of Management, Purdue University, 1990.

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Simeon, Djankov, and National Bureau of Economic Research., eds. The law and economics of self-dealing. National Bureau of Economic Research, 2005.

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Powell, Alan A. Inside a modern macroeconometric model: A guide to the Murphy model. 2nd ed. Springer, 1997.

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Gibbons, Robert. Enriching a theory of wage and promotion dynamics inside firms. National Bureau of Economic Research, 2003.

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Gorton, Gary. Class struggle inside the firm: A study of German codetermination. National Bureau of Economic Research, 2000.

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Chari, V. V. Inside money, outside money and short term interest rates. National Bureau of Economic Research, 1995.

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Mulvey, Gail C. Can insider-outsider theories explain the persistence of unemployment?: An econometric study of two British industries. University of the West of England, Faculty of Economics and Social Science, 1994.

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Book chapters on the topic "Insider econometrics"

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Ichniowski, Casey, and Kathryn Shaw. "7. Insider Econometrics Empirical Studies of How Management Matters." In The Handbook of Organizational Economics, edited by Robert Gibbons and John Roberts. Princeton University Press, 2013. http://dx.doi.org/10.1515/9781400845354-009.

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Haddock, David D., and Jonathan R. Macey. "Controlling Insider Trading in Europe and America: The Economics of the Politics." In International Studies in Economics and Econometrics. Springer Netherlands, 1986. http://dx.doi.org/10.1007/978-94-009-4442-8_8.

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Thomas, D. Gareth, and David S. Bywaters. "An Econometric Study of the Term Structure and the Real Economy." In The Creators of Inside Money. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70366-0_7.

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Russo, Francesco, and Giuseppe Musolino. "Methodologies for Sustainable Development of TEN-T/RFC Corridors and Core Ports: Economic Impacts Generated in Port-Related Areas." In Computational Science and Its Applications – ICCSA 2023 Workshops. Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-37123-3_35.

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AbstractContainer ports were born with the container revolution in the last decades of the 20th century. Their evolution is represented by the third-generation ports, playing a crucial role in the global supply chain, becoming generators of value added. One of the measures that facilitates the increase of value added in a third-generation ports is the Special Economic Zone (SEZ). The economic impacts of SEZs is amplified in smart ports, where the three pillars of smartness (ICT, Transport and Energy) are present, and in a core ports connected to TEN-T/RFC corridors. The paper describes the method and the application to quantify the indirect and induced economic impact of a SEZ inside a third-generation port in terms of employment by means of an aggregated model. A case study is reported considering a SEZ in an undeveloped UE region. The results are obtained from a comparative analysis of representative case studies of port impact studies, estimated by means of a specific class of econometric (input-output) models.
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Tariq, Hassaan, Faisal Shahzad, Asim Anwar, and Ijaz Ur Rehman. "Economic Consequences of Insider-ownership: An Emerging Market Perspective." In International Symposia in Economic Theory and Econometrics. Emerald Publishing Limited, 2019. http://dx.doi.org/10.1108/s1571-038620190000026007.

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Aïıt-Sahalia, Yacine, and Jean Jacod. "Finite or Infinite Activity for Jumps?" In High-Frequency Financial Econometrics. Princeton University Press, 2014. http://dx.doi.org/10.23943/princeton/9780691161433.003.0012.

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The previous chapter was concerned with the estimation of the degree of activity of the jumps of a process X, that is, of its Blumenthal–Getoor index. If the resulting confidence interval does not contain the value 0, one may conclude that the genuine activity index is positive, and thus the jumps have infinite activity (infinitely many jumps inside the observation interval [0, T]). Otherwise the true BG index may be equal to 0, and then a natural question to ask oneself is whether or not the observed path has infinitely many jumps on [0, T]. This chapter deals with question of deciding whether jumps have finite activity.
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Bårdsen, Gunnar, Øyvind Eitrheim, Eilev S. Jansen, and Ragnar Nymoen. "The New Keynesian Phillips curve." In The Econometrics of Macroeconomic Modelling. Oxford University PressOxford, 2005. http://dx.doi.org/10.1093/oso/9780199246496.003.0007.

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Abstract The previous four chapters have analysed alternative models of wage–price setting in small open economies. A common underlying assumption has been that all processes are causal or future independent processes, that is, the roots of the characteristic polynomials are on (unit roots) or inside the unit circle. This means that the model can be solved uniquely from known initial conditions. In this chapter, we turn to rational expectations models—systems where expected future values of endogenous variables enter as explanatory variables, in one or more equations.
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Martinho, Vítor João Pereira Domingues. "Labour Drivers in the Agricultural Sector of the European Union." In Practice, Progress, and Proficiency in Sustainability. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-7998-9557-2.ch008.

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The social role of the farms is, especially, relevant in the rural areas where the socioeconomic problems are, often, more visible. In this perspective, this study aims to investigate the interrelationships of the labour input with other variables inside the farms and assess how the sector may create more employment in a sustainable way. For that, the labour input was, first, correlated with other farm variables and after analysed through factor analysis approaches and cross-section econometric methodologies, considering as basis the Cobb-Douglas and Verdoorn-Kaldor models. The main findings highlight relevant insights to improve the social dimension of the European Union farms. The labour input growth rate is positively influenced by the total output growth rates and negatively impacted by the total productivity growth. The effects from the investment and from the subsidies are residual or not significant.
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Kangotra, Rajan, and Mukul Bhatnagar. "Financial Management and Market Dynamics." In Recent Developments in Financial Management and Economics. IGI Global, 2024. http://dx.doi.org/10.4018/979-8-3693-2683-1.ch017.

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This chapter seeks to shed light on how these dynamics impact investment choices and risk management inside the industry. Taking as example the stock prices of India's major communication companies, we use a comprehensive quantitative approach involving daily closing price data from 2020 to 2023. For market trends, stock relationships and long-term equilibriums we used descriptive statics analysis, covariance and correlation testing as well the Unrestricted Cointegration Rank Test; for volatility patterns of investors' behavior in various situations based on rolls over changed time periods ARMA Maximum Likelihood modelling. Using a range of econometric techniques we gain an insightful feel for the market dynamic behind this industry. Our findings show great fluctuations in stock returns, that major telecom stocks don't exist as a long-term cointegrated group, and historical data doesn't give us much to go on for investment purposes. These findings argue in favor of a more active form of risk management and also for interdisciplinary analysis to guide the process.
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Sanchez-Diaz, Ivan D., and Jesus Gonzalez-Feliu. "Implications of Activity Classification Aggregation in Urban Freight Trip Generation Linear Models." In Advances in Logistics, Operations, and Management Science. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-8160-4.ch002.

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This chapter studies the implication of aggregating establishments by categories with different levels of detail for modeling FTG. To this effect, the chapter conducts an assessment of freight trip generation (FTG) patterns homogeneity inside activity-based grouping. The method implemented is econometric in nature, which allows the assessment of the statistical significance of variables representing commercial activity sectors and sub-sectors. The results show that for some sectors the traditional high-level aggregation includes sub-sectors with homogenous FTG patterns and thus produces appropriate models; in some other cases (e.g., retail, manufacturing), the sub-sectors have different FTG patterns and thus more detailed data is needed to calibrate accurate models. This research can be used to enhance the efficiency of data collection, as it identifies some sub-sectors that need larger efforts for data collection, and some other categories where FTG homogeneity allows for less detailed data collection without hampering the quality of the models.
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Reports on the topic "Insider econometrics"

1

Ichniowski, Casey, and Kathryn Shaw. Insider Econometrics: Empirical Studies of How Management Matters. National Bureau of Economic Research, 2009. http://dx.doi.org/10.3386/w15618.

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