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