The market response of insider transferring trades and firm characteristics in Taiwan

- We examine the announcement effect of insider transfer trade.
- The quantile regression could observe the entire distribution of abnormal returns.
- Smaller firm sizes associate with larger magnitudes of negative abnormal returns.

This paper reports the announcement effects of insider transfer trades and relates these with firms' characteristics. Regulations in Taiwan specify that insiders give three days prior notice to the competent authority of stock transfers and this news can stimulate market participants' investment decisions. We find both the positive and negative abnormal returns exist following insider transfer trade announcements, especially for smaller firm. However, smaller firm sizes associate with larger magnitudes of negative abnormal returns. Furthermore, the connection between smaller firms and those with higher book-to-market ratios strengthens for larger negative abnormal returns.