Asymmetric media effects on insider-trading profitability in Vietnam

This study examines the association between financial media and abnormal returns surrounding insider trading in a frontier market characterized by slow disclosure, limited transparency, and weak enforcement. Using 4,600 insider trades from 111 Vietnamese non-financial firms and 326,630 firm-level news articles, we combine an event-study framework with machine learning-based sentiment analysis to measure media coverage and tone. We document significant abnormal returns around insider transactions, particularly sales, consistent with persistent information advantages and delayed market reactions. Regression results show that greater media coverage is associated with lower cumulative abnormal returns, suggesting a monitoring role that may reduce insiders’ informational advantanges. This association is stronger for insider sales than purchases. Negative media sentiment is associated with abnormal returns surrounding insider sales, indicating that media tone may shape investor expectations before official disclosures. These findings suggest the potential governance role of financial media where formal regulatory enforcement is limited. The study contributes new evidence on the relationship between financial media and insider trading in a frontier market and underscores the importance of timely disclosure, greater transparency, and independent financial journalism.