CFO Insider Trading Anomaly For June: Biggest Buys Yielding Best Returns

Introduction
This article continues my monthly analysis of the live testing of the CFO Insider trading anomaly study that began at the start of April 2019. The purpose is to retest highly profitable aspects of peer-reviewed research in the financial literature for the next 12 months. This new anomaly study is replacing my prior Russell 2000 Reconstitution Anomaly study that concludes a two-year evaluation today and is summarized in a separate final performance results article.
Instinctively, we know that corporate insiders have the best information to conduct potentially profitable purchases and sales of their company stock. The basis of the CFO insider trading anomaly stems from a number of different conclusions in the financial literature to harness the best performance results:
"Insiders have far superior knowledge about the company and the industry than the market" (Singal, 2004, p. 134) "CFOs derive statistically and economically higher abnormal returns from their purchases of company shares than do CEOs. Furthermore, CFOs' excess return is robust to controlling for risk factors. (Wang, Shin, & Francis, 2012, p. 758). "Our results are consistent with CFOs utilizing more (superior) information in their purchase transactions compared to CEOs. The excess returns by CFOs persist even after the trading information is made public, suggesting that the market is slow in incorporating the information in CFOs' trades" (Wang, Shin, & Francis, 2012, p. 758). "A firm is... Read more