INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: December 15 (Tuesday), 2015, 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Marcin Kacperczyk
http://www.imperial.ac.uk/people/m.kacperczyk
Title: "Chasing Private Information"
Abstract
Using a sample of 3,586 illegal insider trades documented by the SEC, we examine whether
asset prices and volume reveal firm-specific private information to markets. We find that
information embedded in equity markets is a weak signal of private information. In turn,
information embedded in option markets offers a strong signal of informed trading. We show
that volume is generally more informative about insider trading than are prices. Further,
we show that the impact of insider trades persists irrespective of whether insiders trade
strategically or not. Finally, we document significant information spillovers from equity
to option markets, but not vice versa. Overall, our results provide strong and novel
guidance in the search for private information.
About Marcin Kacperczyk
Marcin Kacperczyk is a Professor of Finance at Imperial College London. He is also a
Research Associate at the Center for Economic Policy Research, a former Faculty Research
Fellow at the National Bureau of Economic Research, and Associate Editor at the Review of
Financial Studies and Review of Finance.
His research has been published in leading academic and practitioner journals, including
Econometrica, the Quarterly Journal of Economics, Journal of Finance, Journal of Financial
Economics, and the Review of Financial Studies. His work has been widely covered by media,
such as CNN, CNBC, Bloomberg, WSJ, FT, NYT, Business Week, U.S. News, and Washington Post.
Two of his papers have been nominated for the Smith Breeden Prize, and received the
Spängler IQAM Prize for the best paper published in the Review of Finance.
**Please REGISTER**:
Mail: gutmann-center@wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center@wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not
wish to receive any further invitations from us!