Estimating the Returns to Insider Trading

Jeng et al (2003) in their paper shows that insider purchases earn abnormal returns 52 to 68 basis points per month with statistically significant. The most of the returns (50%) comes with in one month (they considered total holding period of six month) after insider purchases.  This evidence suggests that insider buying has good opportunity of short term developments with in their firm and the followers whose trades move the market. So if you want make abnormal return of 6% per year (3% per year by closing the position with in month) follow the stocks in which insider buying.

Leslie A. Jeng, Andrew Metrick, and Richard Zeckhauser, May 2003,
Estimating the returns to insider trading: A performance-evaluation perspective
Review of Economics and Statistics,85(2): 453:471