주가급락 전의 내부자거래 행태에 관한 연구

A Study on the Behavior of Insiders before Stock Price Crashes

This paper examine the information content of insider trading before a large drop in the stock price. Using insider trading data from Korea between 2005 and 2014, I find that largest shareholders tend to sell far before a stock price crash, while other types of insiders, including other large shareholders and executives, are more likely to sell immediately prior to a crash. Findings reveal that sales by top shareholders in the distant past is positively correlated with the likelihood of a crash, while sales by insiders in the recent past is not significantly associated with the probability of a crash. On the contrary , sales by other insiders in the distant past is negatively correlated with the likelihood of a crash, and sales in the recent past is positively correlated with the likelihood of a crash. These findings suggest that top shareholders appear to be aware of the effect of their selling on litigation risk and thus reduce their opportunistic sales prior to a crash. On the other hand , low litigation-risk insiders sell opportunistically. Also, this finding appears to be stronger in firms with access to more private information.