This paper studies a large international dataset of insider trades, constructing an aggregate signal for each stock using several insider-trade signals from academic research.

Long-short portfolios generate significant alphas in about 2/3 of countries.

Examples of signals (see Appendix for all signals and definitions):

• CFO trades

• Trades by multiple insiders in the same direction

• Trades by historically profitable insiders

Performance is strongest for small caps and long trades. The authors argue that the results don't necessarily reflect insiders trading on non-public info, but rather their skill in acting on public information.

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