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AswathDamodaran1InformationTradingAswathDamodaranAswathDamodaran2InformationandValueQInvestorsattempttoassessthevalueofanassetbasedupontheinformationthattheyhaveaboutthatassetatthatpointintime.QAtthesametime,differentinvestorswillarriveatdifferentassessmentsofvalueforthesameasset•Becausetheinformationtheyhaveisdifferent•BecausetheyhavedifferentwaysofprocessingthesameinformationQThepriceisdeterminedbydemandandsupply.AswathDamodaran3InformationandPricesinanEfficientMarketTimeNewinformationisrevealedAssetpriceFigure10.1:PriceAdjustmentinanEfficientMarketNoticethatthepriceadjustsinstantaneouslytotheinformationAswathDamodaran4ASlowLearningMarket…TimeNewinformationisrevealedAssetpriceFigure10.2ASlowLearningMarketThepricedriftsupwardsafterthegoodnewscomesout.AswathDamodaran5AnOverreactingMarketTimeNewinformationisrevealedAssetpriceFigure10.3:AnOverreactingMarketThepriceincreasestoomuchonthegoodnewsannouncement,andthendecreasesintheperiodafter.AswathDamodaran6TradingonPrivateInformationQInsidersaremanagers,directorsormajorstockholdersinfirms.QAnalystsoperateatthenexusofprivateandpublicinformation.QOnewaytoexaminewhetherprivateinformationcanbeusedtoearnexcessreturnsistolookatwhetherinsidersandanalystsearnexcessreturns.AswathDamodaran7InsiderTradingasaLeadingIndicatorofStockprices..Figure10.4:CumulativeReturnsFollowingInsiderTrading:BuyvsSellGroup-0.0500.050.10.150.20.250.30.350.41234567891011121314151617181920MonthfollowinginsidertradeCARBuyGroup-MSellGroup-MAswathDamodaran8Moreoninsidertrading…QStudiessincesupportthisfinding,butitisworthnotingthatinsiderbuyingisanoisysignal–about4in10stockswhereinsidersarebuyingturnouttobepoorinvestments,andevenonaverage,theexcessreturnsearnedarenotverylarge.QInastudyin1998,LakonishokandLeetakeacloserlookatthepricemovementsaroundinsidertrading.Theyfindthatfirmswithsubstantialinsidersellinghavestockreturnsof14.4%overthesubsequent12months,whichissignificantlylowerthanthe22.2%earnedbyfirmswithinsiderbuying.QHowever,theyfindthatthelinkbetweeninsidertradingandsubsequentreturnsisgreatestforsmallcompaniesandthatthereisalmostnorelationshipatlargerfirms.AswathDamodaran9Canyoufollowinsidersandmakemoney?1%0%-1%-2%2%3%4%InsiderReportingDateOfficialSummaryDateDaysaroundeventdate-200+300AswathDamodaran10Aresomeinsidersmoreinsidethanothers?QNotallinsidershaveequalaccesstoinformation.Topmanagersandmembersoftheboardshouldbeprivytomuchmoreimportantinformationandthustheirtradesshouldbemorerevealing.AstudybyBettis,VickreyandVickeryfindsthatinvestorswhofocusonlyonlargetradesmadebytopexecutives,ratherthantotalinsidertradingmay,infact,beabletoearnexcessreturns.QAsinvestmentalternativestotradingoncommonstockhavemultiplied,insidershavealsobecomemoresophisticatedaboutusingthesealternatives.Asanoutsideinvestor,youmaybeabletoaddmorevaluebytrackingthesealternativeinvestments.Forinstance,Bettis,BizjakandLemmonfindthatinsidertradinginderivativesecurities(optionsspecifically)tohedgetheircommonstockpositionsincreasesimmediatelyfollowingpricerun-upsandpriortopoorearningsannouncements.Inaddition,theyfindthatstockpricestendtogodownafterinsiderstakethesehedgingpositions.AswathDamodaran11IllegalInsiderTrading:Isitprofitable?QWheninsidersarecaughttradingillegally,theyalmostinvariablyhavemadeakillingontheirinvestment.Clearly,someinsidersmadesignificantreturnsofftheirprivilegedpositions.QAlmostallmajornewsannouncementsmadebyfirmsareprecededbyapricerun-up(ifitisgoodnews)orapricedrop(ifitisbadnews).Whilethismayindicateaveryprescientmarket,itismuchmorelikelythatsomeonewithaccesstotheprivilegedinformation(eitheratthefirmortheintermediarieshelpingthefirm)isusingtheinformationtotradeaheadofthenews.Infact,theotherindicatorofinsidertradingisthesurgeintradingvolumeinboththestockitselfandderivativespriortobignewsannouncements.QInadditiontohavingaccesstoinformation,insidersareofteninapositiontotimethereleaseofrelevantinformationtofinancialmarkets.Onestudyfindthatinsiderssellstockbetween3and9quartersbeforetheirfirmsreportabreakinconsecutiveearningsincreases.Theyalsofind,forinstance,thatinsidersellingincreasesatgrowthfirmspriortoperiodsofdecliningearnings.AswathDamodaran12AswathDamodaran13AnalystsQAnalystshaveaccesstopublicinformationandtothemanagersofthefirm(andthustoprivateinformation).QAnalystsmakeearningsforecastsforfirms(andrevisethem)andrecommendationsonbuyandsell.AswathDamodaran14Whodoanalystsfollow?Figure10.6:Numberofanalystsestimatingearningspershar:U.S.firmsinJanuary20010200400600800100012001400160018002000Noanalysts1-23-45-89-1213-1617-2021-2425AswathDamodaran15Determinantsofanalystfollowing…QMarketCapitalization:Thelargerthemarketcapitalizationofafirm,themorelikelyitistobefollowedbyanalysts.QInstitutionalHolding:Thegreaterthepercentofafirm’sstockthatisheldbyinstitutions,themorelikelyitistobefollowedbyanalysts.Theopenquestion,though,iswhetheranalystsfollowinstitutionsorwhetherinstitutionsfollowanalysts.Giventhatinstitutionalinvestorsarethebiggestclientsofequityresearchanalysts,thecausalityprobablyrunsbothways.QTradingVolum