This paper examines the association between insider trading prior to quarterly earnings announcements and the magnitude of the post-earnings announcement drift (PEAD). We conjecture and find that insider trades reflect insiders’ private information about the persistence of earnings news. Thus, insider trades can help investors better understand and incorporate the time-series properties of quarterly earnings into stock prices in a timely and unbiased manner, thereby mitigating PEAD. As predicted, PEAD is significantly lower when earnings announcements are preceded by insider trading. The reduction in PEAD is driven by contradictory insider trades (i.e., net buys before large negative earnings news or net sells before large positive earnings news) and is more pronounced in the presence of more sophisticated market participants. Consistent with investors extracting and trading on insiders’ private information, pre-announcement insider trading is associated with smaller market reactions to future earnings news in each of the four subsequent quarters. Overall, our findings indicate insider trading contributes to stock price efficiency by conveying insiders’ private information about future earnings and especially the persistence of earnings news.

本文研究了季度收益公布前的内幕交易与收益公布后漂移 (PEAD) 幅度之间的关联。我们推测并发现，内幕交易反映了内部人士关于盈利消息持续存在的私人信息。因此，内幕交易可以帮助投资者更好地理解季度收益的时间序列特性，并将其及时、公正地纳入股价中，从而减轻PEAD。正如预测的那样，当盈利公告之前发生内幕交易时，PEAD 会显着降低。PEAD 的减少是由矛盾的内幕交易（即，在重大负面盈利消息之前净买入或在大型正面盈利消息之前净卖出）驱动的，并且在存在更成熟的市场参与者的情况下更加明显。与投资者提取和交易内幕人士私人信息的情况一致，公告前的内幕交易与随后四个季度中每个季度对未来盈利消息的市场反应较小有关。总体而言，我们的研究结果表明，内幕交易通过传达内部人士有关未来收益的私人信息，尤其是收益新闻的持续性，有助于提高股价效率。