Stock Picking Skills of SEC Employees
Abstract
We examine the profitability of stock trades executed by SEC employees. We find that a hedge portfolio mimicking such trades earns a positive abnormal return of about 8.5% per year in U.S. stocks, driven solely by avoiding losses on the sell-side. That is, SEC employees are using luck, skill, or private information to get out of U.S. stocks before prices fall. The SEC claims that this result stems in part from employees being forced to sell stocks in a firm when they are assigned to secret investigations. We question whether this policy is reasonable.
Download PDF
Citation
Rajgopal, Shivaram, and Roger White. "Stock Picking Skills of SEC Employees." Columbia Business School, 2014.
Each author name for a Columbia Business School faculty member is linked to a faculty research page, which lists additional publications by that faculty member.
Each topic is linked to an index of publications on that topic.