내부자거래는 외부에 아직 알려지지 않은 기업의 성과 혹은 이와 관련된 정보를 유출시켜 정보비대칭을 감소시키는 긍정적인 측면과, 내부자가 사적인 정보를 이용하여 자신이 재직하고 있는 주식의 시세를 조정하거나, 일반투자자보다 선행하여 주식을 매매함으로써 사적인 이익을 취할 수 있는 부정적인 측면이 동시에 존재한다. 이에 따라 내부자 거래에 대한 연구는 회계학과 재무학의 주요 연구 분야 중 하나였다. 이 연구는 내부자거래에 대한 제반이론과 이에 대한 실증 연구를 바탕으로 다음의 주제에 대한 경험적 증거를 제시하고자 한다. 첫째, 내부자 거래가 기업의 미래 성과에 대한 정보를 포함하고 있는지를 살펴볼 것이다. 둘째, 이러한 내부자 거래가 담고 있는 미래 경영성과 예측에 대한 정보를 재무분석가가 이용하고 있는지에 대한 실증적 증거를 제시하려고 한다. 이를 위해 1,963개 기업-연도의 내부자거래 자료를 이용하여 내부자거래가 미래 경영성과 변동에 대한 정보를 살펴보았으며, 재무분석가의 내부자거래 이용여부를 살펴보기 위해서는 4,117개의 표본을 이용하여 분석하였다.

Prior researches on insider trading have provided prevailing evidence that insiders have better information about the future prospects of their firms than outside investors, thus insider trading seem to provide important information on firms` future earings in the financial market. Previous studies showed that insiders made trading strategy based on their private information about future firm performance (Kerr 1980, Masse et al. 1988 etc.) and their trading have information content of future earnings and cash flows(Ke et al. 2003, Piotroski and Roulstone 2005 etc.). But few studies, especially using Korean data, examine between insider trading and future earnings changes directly. Most of literatures have used abnormal returns after insider trading as a proxy of firms` future performance. While many studies focus on whether trading strategy following insiders make abnormal returns(Beneish and Pari 1987, Seyhun 1998, Lakonishok and Lee 2001 etc.), few studies examine how analyst use insider trading information to form their forecasts. This study expects that if insider trading has information content of future earnings, insider trading information will affect analyst forecasts. For the study, we obtained insider trading data from the DART system for the years from 2000 to 2005 and financial data obtained from KOCOINFO database for the years from 1999 to 2007. Similar to prior researches, only open market purchases and sales by insider are utilized in this study, since such insider transactions are more likely to represent actions for the private information of the future earnings changes. We exclude cases of (1) financial services firms, (2) non-December fiscal year- end firms, (3) firms with missing earnings data, (4) firms with missing six month return data before insider trading day and (5) firms have no insider trading data. We use a sample of 1,963 firms and analysing with 4,117 insider trading and analyst forecast observations between 2002 and 2007 in Korean capital market. Our first analysis of the information contents of insider trading examines the association between insider trading and earnings changes. Our result show insiders` purchases(sales) are significantly and positively(negatively) associated with the firm`s subsequent actual earnings changes both in one-year and two-year ahead. Specifically, the one-year ahead earnings changes parameter estimates(ΔROAt) are significantly positive at 0.01 level. And the two-year earnings changes parameter estimates are significantly positive at 0.05 level. Our findings mean that insider trading is value relevant and provides information concerning current and future earnings changes. We find that analyst revises their forecasts around insiders` trading days and positively associated with net insider trading. This result suggests that analysts use information from insider trading in revising their forecasts. But they use information contained in insider trading differently according to their revision timing. Specifically, analyst doesn`t use the information included in insider trading when they revise at the 1st quarter. But they give weight to insider buying between the 2nd and 3rd quarter. And analyst concerns about insider selling and revises the future earnings expectation based on insider selling at the 4th quarter. This study suggests that insider trading have value relevant information, thus it can reduce information asymmetry between insiders and outside investors. Further we show that analysts use information from insider trading in revising their earnings expectations. But analysts use information included insider trading differently depending on the timing of revision. This study contributes in following aspects. First, this study examined whether insider trading has information on the future earnings change of the firm. Second, we analyze analysts` earnings forecast revision following insider trading. We found that analyst has different interpretations on insider trading depending on the timing of revision.