Daniel Hoechle has also written an implementation of the Fama and MacBeth estimation procedure for Stata, available at SSC. I think it is easier to install than my implementation and works better (especially with post estimation commands). I recommend it unless you need Newey-West correction, in this case you can use my programs.

Tags: Stata

This working paper is already available at SSRN: http://ssrn.com/abstract=945193

Abstract:
We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders' trading activities have a clear impact on return distributions. Furthermore, we provide empirical evidence on insiders transactions and firm transactions affecting returns in a different manner. In particular, while insiders' transactions (both purchases and sales) have a strong impact on skewness in the short run and to a lesser extent in short run volatility, company repurchases only have a clear impact on volatility, both in the short and the long run. We provide explanations for this asymmetry.

Keywords: Insider trading, liquidity, short-horizon variance, skewness

JEL Classifications: G11, G12, G14, G18

Tags: Research