Preliminary Analysis

Log Part 1 – Normal Distribution Follow Up

1. Define “significant” form 4 filings and determine if there is a relationship between the number of Form 4 filings (on a daily basis) and price impact
2. Observe top 3 gains + losses days and count proximity from Form 4 Filing
3. Eliminate confounded companies (poor earnings; negative media attention)
4. Adjust for price changes relative to SP500

Log Part 2 – Qualitative Analysis, “Tails”

1. Frequency of media coverage relative to filing
2. Catalysts for filing

Review

• http://www.dailyspeculations.com/scholarly/NiederInsider2.pdf
• http://hanson.gmu.edu/insiderbet.pdf
• http://mitsloan.mit.edu/events/asia-conference-in-accounting/pdf/Aggregate_Insider_Trading_and_Future_Stock_Returns.pdf