Data for: The Information Content of Insider Trading: Evidence from China

This file contains the data used to examine the source of return predictability by insiders trades. The variable description is the following: Dependent variables: total_profit_s_chg_to_at_l: Earnings surprise-Total, the change in total profit, scaled by assets oper_profit_s_chg_to_at_l: Earnings surprise-Oper., the change in operating earnings, scaled by assets noper_profit_s_chg_to_at_l: Earnings surprise-Non-oper, the change in non-operating earnings, scaled by assets abnormal_ret_rm_3_3: CAR(3,3), Cumulative returns during the 3-day before and after the announcement of earnings Variables of interest (that examine the net share purchasing by insiders): amount_to_total_sum_1q: the net share purchasing by insiders in the past 1-quarter amount_to_total_sum_2q: the net share purchasing by insiders in the past 2-quarter amount_to_total_sum_3q: the net share purchasing by insiders in the past 3-quarter amount_to_total_sum_4q: the net share purchasing by insiders in the past 4-quarter Control variables: l_be_me_l: Logarithm of book to market l_mkt_val_total_l: Logarithm of market value sum_ret_stk_weekly_50: Stock return in the past 50 weeks sum_ret_stk_weekly_4: Stock return in the past 4 weeks state_shr_pct: state ownership mgmt_shr_pct: managerial ownership

本数据集包含用于检验内幕交易收益可预测性来源的相关数据。变量说明如下：
### 因变量
total_profit_s_chg_to_at_l：总收益意外——合计项（total_profit_s_chg_to_at_l），即总利润变动额按总资产标准化后的值
oper_profit_s_chg_to_at_l：营业收益意外（oper_profit_s_chg_to_at_l），即营业利润变动额按总资产标准化后的值
noper_profit_s_chg_to_at_l：非营业收益意外（noper_profit_s_chg_to_at_l），即非营业利润变动额按总资产标准化后的值
abnormal_ret_rm_3_3：累计异常收益CAR(3,3)（abnormal_ret_rm_3_3），即盈余公告前后3个交易日的累计收益率

### 核心解释变量（用于检验内幕人员净股票买入行为）
amount_to_total_sum_1q：过去1个季度内幕人员的净股票买入规模（amount_to_total_sum_1q）
amount_to_total_sum_2q：过去2个季度内幕人员的净股票买入规模（amount_to_total_sum_2q）
amount_to_total_sum_3q：过去3个季度内幕人员的净股票买入规模（amount_to_total_sum_3q）
amount_to_total_sum_4q：过去4个季度内幕人员的净股票买入规模（amount_to_total_sum_4q）

### 控制变量
l_be_me_l：账面市值比的对数（l_be_me_l）
l_mkt_val_total_l：总市值的对数（l_mkt_val_total_l）
sum_ret_stk_weekly_50：过去50周的股票收益率（sum_ret_stk_weekly_50）
sum_ret_stk_weekly_4：过去4周的股票收益率（sum_ret_stk_weekly_4）
state_shr_pct：国有股持股比例（state_shr_pct）
mgmt_shr_pct：管理层持股比例（mgmt_shr_pct）