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This section of Insider Sleuth presents efforts to uncover correlations between insider trading activity and returns in the stock market. Every reasonable effort has been made to ensure accuracy for each study. However, no guarantee can be made that the results are free of error, and therefore should be interpreted with caution.

Net Transaction Study

The Net Transaction Study attempts to uncover whether a relationship exists between returns in the stock market and net insider buying and selling. This was accomplished by looking at all companies with insider trading for a given time period and subtracting the number of insider sales from the number of insider purchases. Companies were divided into groups based on market cap and relative size of net insider trading. Median and average returns for each group were calculated for the first trading day of each month beginning on January 1st, 2005 and ending on January 1st, 2017. The returns for each group are presented below.

For this study, only the number of individual insider transactions was considered. No attempt was made to correlate the size of insider transactions to stock returns.

Median Returns, All Market Caps, 1 Month Net Transactions

Group N Count 1 Year Return 2 Year Return 1 Year Excess Return
All Companies 485955 7.20% 13.91% 0%
All w/ Insider Transactions 75695 8.99% 17.28% 2.03%
All Net Purchasers 25922 9.08% 18.23% 2.12%
75 percentile (>1) 12606 8.84% 17.76% 1.89%
90 percentile (>2) 7317 9.31% 17.60% 2.35%
95 percentile (>4) 3315 10.16% 19.57% 3.20%
99 percentile (>9) 719 12.32% 22.07% 5.37%
All Net Sellers 47686 8.88% 16.74% 1.93%
25 percentile (-2) 14400 7.61% 13.92% 0.66%
10 percentile (-4) 6334 6.99% 11.79% 0.03%
5 percentile (-6) 3215 6.87% 10.60% -0.08%
1 percentile (-12) 749 6.45% 5.46% -0.50%

Median Returns, Micro-Caps, 1 Month Net Transactions

Group N Count 1 Year Return 2 Year Return 1 Year Excess Return
All Micro-Cap Companies 166358 -1.22% -3.56% 0%
All w/ Insider Transactions 18232 -1.77% -6.52% -0.54%
All Net Purchasers 10621 1.43% 1.14% 2.66%
75 percentile (>1) 3275 1.52% 2.04% 2.74%
90 percentile (>2) 1378 1.56% 1.98% 2.78%
95 percentile (>4) 656 1.53% 1.72% 2.75%
99 percentile (>9) 178 5.20% 5.00% 6.43%
All Net Sellers 7128 -7.54% -17.70% -6.31%
25 percentile (-2) 3562 -10.53% -21.20% -9.30%
10 percentile (-4) 1451 -12.58% -25.00% -11.36%
5 percentile (-6) 680 -17.56% -28.76% -16.33%
1 percentile (-12) 153 -25.21% -37.80% -23.99%

Median Returns, Small-Caps, 1 Month Net Transactions

Group N Count 1 Year Return 2 Year Return 1 Year Excess Return
All Small-Cap Companies 134508 7.58% 14.61% 0%
All w/ Insider Transactions 23499 8.59% 16.02% 1.01%
All Net Purchasers 8527 12.75% 25.97% 5.18%
75 percentile (>1) 4334 13.23% 27.98% 5.65%
90 percentile (>2) 1806 15.20% 29.65% 7.62%
95 percentile (>4) 945 15.82% 34.38% 8.24%
99 percentile (>9) 221 17.24% 35.86% 9.66%
All Net Sellers 14293 5.76% 9.53% -1.81%
25 percentile (-2) 4353 5.13% 6.53% -2.45%
10 percentile (-4) 1830 5.12% 5.78% -2.46%
5 percentile (-6) 863 6.73% 7.05% -0.84%
1 percentile (-12) 229 7.53% 1.84% -0.04%

Median Returns, Mid-Caps, 1 Month Net Transactions

Group N Count 1 Year Return 2 Year Return 1 Year Excess Return
All Mid-Cap Companies 94737 12.41% 24.21% 0%
All w/ Insider Transactions 19833 12.16% 25.44% -0.25%
All Net Purchasers 4332 12.87% 27.49% 0.46%
75 percentile (>1) 4861 12.85% 27.21% 0.44%
90 percentile (>2) 1791 12.74% 28.62% 0.33%
95 percentile (>4) 954 11.25% 26.64% -1.16%
99 percentile (>9) 165 9.37% 13.94% -3.04%
All Net Sellers 14972 11.97% 25.03% -0.45%
25 percentile (-2) 4718 10.92% 22.58% -1.49%
10 percentile (-4) 1492 9.86% 19.88% -2.55%
5 percentile (-6) 834 8.07% 16.16% -4.34%
1 percentile (-12) 168 7.76% 7.40% -4.66%

Median Returns, Large-Caps, 1 Month Net Transactions

Group N Count 1 Year Return 2 Year Return 1 Year Excess Return
All Large-Cap Companies 60888 14.69% 28.58% 0%
All w/ Insider Transactions 14131 14.26% 28.15% -0.43%
All Net Purchasers 2442 15.37% 28.49% 0.69%
75 percentile (>1) 2838 15.50% 28.39% 0.82%
90 percentile (>2) 875 16.51% 32.05% 1.82%
95 percentile (>4) 457 17.68% 32.14% 3.00%
99 percentile (>9) 126 16.62% 31.29% 1.93%
All Net Sellers 11293 14.05% 28.04% -0.63%
25 percentile (-2) 3197 12.97% 26.41% -1.72%
10 percentile (-4) 1046 11.40% 25.29% -3.29%
5 percentile (-6) 610 10.68% 23.92% -4.01%
1 percentile (-12) 131 11.59% 19.08% -3.10%

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