After-hours block trading, short sales, and information leakage: Evidence from Korea

Abstract

Using a novel data set, this thesis investigates the impact of insider trading in after-hours block market on stock price and short sales volume, before and after the trading becomes public information. During pre-announcement period, positive (negative) abnormal stock return is generated when insiders buy (sell) their shares but does not when quasi-insiders trade, implying that stock price reflects long-lived private information of corporate governance structure. The impact is most prominent when ownership shares are transferred to (from) corporate insiders. In contrast, short sales volume generally does not depend on the identity of block holders. Short sales volume has a negative relationship with abnormal stock return only during the transaction date, indicating that a short-sale decision of tippees is based on their sole expectation on instantaneous stock returns. The thesis also presents evidence that insiders select the timing of their trades with respect to maximizing their realized profits or minimizing their purchasing costs.; Using a novel data set, this thesis investigates the impact of insider trading in after-hours block market on stock price and short sales volume, before and after the trading becomes public information. During pre-announcement period, positive (negative) abnormal stock return is generated when insiders buy (sell) their shares but does not when quasi-insiders trade, implying that stock price reflects long-lived private information of corporate governance structure. The impact is most prominent when ownership shares are transferred to (from) corporate insiders. In contrast, short sales volume generally does not depend on the identity of block holders. Short sales volume has a negative relationship with abnormal stock return only during the transaction date, indicating that a short-sale decision of tippees is based on their sole expectation on instantaneous stock returns. The thesis also presents evidence that insiders select the timing of their trades with respect to maximizing their realized profits or minimizing their purchasing costs.|본 논문은 시간외대량매매를 통한 내부자 거래가 정보가 공개되기 이전과 이후에 주가와 공매도에 미치는 영향을 조사한다. 공시 이전 기간에, 내부자가 주식을 매수 (매도) 하면 양의 (음의) 비정상 수익률이 발생하지만 준내부자의 거래에서는 이러한 효과를 보이지 않았다. 이는 시간외대량매매를 통한 내부자 거래가 있을 때, 주가가 기업 지배 구조와 연관한 장기간 지속되는 미공개 정보를 반영한다는 것을 암시한다. 이러한 영향은 지분이 기업 내부자에게 들어갈 (빠져 나올) 때 가장 두드러졌다. 이와 대조적으로, 공매도량은 대량 지분 보유자의 신분과 관련이 없었다. 공매도량은 비정상 수익률과 블록딜 거래 당일에만 부의 관계를 가진다. 이는 내부 정보를 입수하여 공매도를 하는 사람은 단기간의 주식 수익률에 근거하여 투자한다는 것을 시사한다. 또한 논문은 내부자가 그들의 실현 수익을 극대화하거나 매입 비용을 최소화하는 거래 시점을 선택한다는 증거를 제시한다.