Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis
We investigate the impact of compulsory insider-trading disclosure and its combination with a mandatory holding rule on price predictability and asset mispricing. We modify the dynamic price-adjustment model to account for insiders’ private information. Our results show that insiders produce weakly-...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2022
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| Online Access: | https://hdl.handle.net/10356/154888 |
| _version_ | 1811691517994074112 |
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| author | Halim, Edward Riyanto, Yohanes E. |
| author2 | School of Social Sciences |
| author_facet | School of Social Sciences Halim, Edward Riyanto, Yohanes E. |
| author_sort | Halim, Edward |
| collection | NTU |
| description | We investigate the impact of compulsory insider-trading disclosure and its combination with a mandatory holding rule on price predictability and asset mispricing. We modify the dynamic price-adjustment model to account for insiders’ private information. Our results show that insiders produce weakly-characterized price signals that induce a less than proportional price adjustment to the changes in the dividend value, in both markets with disclosure rule and holding requirement, in comparison with unregulated markets. A shift in insiders’ strategies from information-motivated to liquidity-motivated trading appears to fuel the impairment of price predictability in regulated markets. The exacerbation of asset mispricing in markets with holding restriction is characterized by a growth in the speculative transactions and loss-making trading proposals. |
| first_indexed | 2024-10-01T06:21:09Z |
| format | Journal Article |
| id | ntu-10356/154888 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:21:09Z |
| publishDate | 2022 |
| record_format | dspace |
| spelling | ntu-10356/1548882022-01-13T03:05:48Z Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis Halim, Edward Riyanto, Yohanes E. School of Social Sciences Social sciences::Economic theory Laboratory Experiment Asset Market We investigate the impact of compulsory insider-trading disclosure and its combination with a mandatory holding rule on price predictability and asset mispricing. We modify the dynamic price-adjustment model to account for insiders’ private information. Our results show that insiders produce weakly-characterized price signals that induce a less than proportional price adjustment to the changes in the dividend value, in both markets with disclosure rule and holding requirement, in comparison with unregulated markets. A shift in insiders’ strategies from information-motivated to liquidity-motivated trading appears to fuel the impairment of price predictability in regulated markets. The exacerbation of asset mispricing in markets with holding restriction is characterized by a growth in the speculative transactions and loss-making trading proposals. Ministry of Education (MOE) Nanyang Technological University This research is supported by the Start-Up Research Grant and the Ministry of Education (MOE) AcRF Tier 1 Grant awarded to Yohanes E. Riyanto by Nanyang Technological University. 2022-01-13T03:05:47Z 2022-01-13T03:05:47Z 2020 Journal Article Halim, E. & Riyanto, Y. E. (2020). Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis. Journal of Economic Dynamics and Control, 110, 103745-. https://dx.doi.org/10.1016/j.jedc.2019.103745 0165-1889 https://hdl.handle.net/10356/154888 10.1016/j.jedc.2019.103745 2-s2.0-85072181267 110 103745 en Journal of Economic Dynamics and Control © 2019 Elsevier B.V. All rights reserved. |
| spellingShingle | Social sciences::Economic theory Laboratory Experiment Asset Market Halim, Edward Riyanto, Yohanes E. Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis |
| title | Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis |
| title_full | Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis |
| title_fullStr | Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis |
| title_full_unstemmed | Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis |
| title_short | Asset markets with insider trading disclosure rule and reselling constraint : an experimental analysis |
| title_sort | asset markets with insider trading disclosure rule and reselling constraint an experimental analysis |
| topic | Social sciences::Economic theory Laboratory Experiment Asset Market |
| url | https://hdl.handle.net/10356/154888 |
| work_keys_str_mv | AT halimedward assetmarketswithinsidertradingdisclosureruleandresellingconstraintanexperimentalanalysis AT riyantoyohanese assetmarketswithinsidertradingdisclosureruleandresellingconstraintanexperimentalanalysis |