The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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The January Effect and Aggregate Insider Trading
Published: 03/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb02593.x
H. NEJAT SEYHUN
This study investigates the seasonal pattern of aggregate insider trading to help distinguish between two competing explanations for the seasonal pattern of security returns. The first potential explanation examined is that the January effect arises from predictable changes in turn‐of‐the‐year demand for securities. The second potential explanation examined is that the January effect represents compensation for the higher risk of trading against informed traders at the turn of the year.
Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987
Published: 12/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb03719.x
H. NEJAT SEYHUN
This paper shows that i) the Crash was a surprise to corporate insiders; ii) insiders became buyers of stock in record numbers immediately following the Crash; iii) stocks that declined more during the Crash were also purchased more by insiders; and iv) stocks that were purchased more extensively by insiders during October 1987 showed larger positive returns in 1988. The overall evidence suggests that overreaction was an important part of the Crash.
Relative Price Variability, Real Shocks, and the Stock Market
Published: 06/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb03699.x
GAUTAM KAUL, H. NEJAT SEYHUN
In this paper, we investigate the effects of relative price variability on output and the stock market and gauge the extent to which inflation proxies for relative price variability in stock return‐inflation regressions. The evidence shows that the negative stock return‐inflation relations proxy for the adverse effects of relative price variability on economic activity, particularly during the seventies, when the U.S. experienced oil supply shocks. Hence, it appears that inflation spuriously affects the stock market in two ways: the aggregate output link of Fama (1981) and the supply shocks reflected in relative price variability.