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Insider Purchases Far Below the 52-Week High: Decomposing the Disclosure Reaction in Microcap Equities

Zhao, Hangyi
arXiv (All) · Papers
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statistical-financetrading-and-market-microstructure
Purchases reported under transaction code P on SEC Form 4 by insiders of U.S. equities with an estimated filing-date capitalization of USD 30 million to USD 500 million (13,534 lines, 1,192 issuers, 2018-2024) are followed by a first-day abnormal return that rises steeply with the stock's distance b
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