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Journal Article

The January Effect and Aggregate Insider Trading

H. Nejat Seyhun
The Journal of Finance
Vol. 43, No. 1 (Mar., 1988), pp. 129-141
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328327
Stable URL: http://www.jstor.org/stable/2328327
Page Count: 13
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The January Effect and Aggregate Insider Trading
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Abstract

This study investigates the seasonal pattern of aggregate insider trading to help distinguish between two competing explanations for the seasonal pattern of security returns. The first potential explanation examined is that the January effect arises from predictable changes in turn-of-the-year demand for securities. The second potential explanation examined is that the January effect represents compensation for the higher risk of trading against informed traders at the turn of the year.

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