Accession Number : ADP007207

Title :   Short-Run Stock Market Forecasting with Adjusted Insider Trading Data,

Corporate Author : FORDHAM UNIV BRONX NY

Personal Author(s) : Vinod, H. D. ; Dadak, K.

Report Date : 1992

Pagination or Media Count : 4

Abstract : This paper is concerned with the open-market transactions of corporate insiders. The Securities and Exchange Commission (SEC) publishes information on the buying and selling activities of insiders. which market analysts use to uncover insider sentiment about the prospects of their own corporations and of the entire market. However, the law requires that these transactions be reported to the SEC by the tenth day of the month following a transaction. Moreover, many insiders do not comply with this regulation. Therefore, the available data are always out-of-date in a random manner. We also found that the time lags in reporting buy and sell transactions are different. Since the available data are truncated, it was necessary to adjust the observed probability density function (pdf). We used distributed lag models to study their out-of-sample forecasting performance.

Descriptors :   *FORECASTING, *PROBABILITY, ANALYSTS, CORPORATIONS, DAY, DENSITY, EXCHANGE, MODELS, PAPER, REGULATIONS, TIME.

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE