Data for: The Information Content of Insider Trading: Evidence from China

Published: 30 December 2017| Version 1 | DOI: 10.17632/xbhs49753v.1
Contributors:
Gang Xiao,
Ying Qiu,
Hua He

Description

This file contains the data used to examine the source of return predictability by insiders trades. The variable description is the following: Dependent variables: total_profit_s_chg_to_at_l: Earnings surprise-Total, the change in total profit, scaled by assets oper_profit_s_chg_to_at_l: Earnings surprise-Oper., the change in operating earnings, scaled by assets noper_profit_s_chg_to_at_l: Earnings surprise-Non-oper, the change in non-operating earnings, scaled by assets abnormal_ret_rm_3_3: CAR(3,3), Cumulative returns during the 3-day before and after the announcement of earnings Variables of interest (that examine the net share purchasing by insiders): amount_to_total_sum_1q: the net share purchasing by insiders in the past 1-quarter amount_to_total_sum_2q: the net share purchasing by insiders in the past 2-quarter amount_to_total_sum_3q: the net share purchasing by insiders in the past 3-quarter amount_to_total_sum_4q: the net share purchasing by insiders in the past 4-quarter Control variables: l_be_me_l: Logarithm of book to market l_mkt_val_total_l: Logarithm of market value sum_ret_stk_weekly_50: Stock return in the past 50 weeks sum_ret_stk_weekly_4: Stock return in the past 4 weeks state_shr_pct: state ownership mgmt_shr_pct: managerial ownership

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