The strongest insider signal may be the one we cannot observe.

Public research brief

Before asking whether an anomaly works, ask whether its trades are visible in our data.

Hvide and Nielsen use Norwegian administrative records to study own-company purchases by executives below the top tier. The published abstract reports abnormal returns of roughly 50-100 basis points over one month, while purchases of other companies do not show comparable investor skill.

The economic idea is plausible: useful company information can reside below the most visible executive ranks. Our problem appeared before the return test. The data supporting the study are not equivalent to a US public insider-filing feed.

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