Weimin Wang of St. Louis University's John Cook School of Business, Yong-Chul Shin of the University of Massachusetts-Boston's College of Management, and Bill B. Francis of Rensselaer Polytechnic Institute's Lally School of Management, looked at 10 years of pre-Sarbox trades by CEOs and CFOs and found that the finance chiefs earned an average 5% higher return than did CEOs in the 12 months following open market purchases of shares in their companies.

Most of this outperformance by CFOs occurs in the first nine months, especially the first three months, after the purchase, according to the paper, which shows CFOs outperforming their bosses by 2.58% in months one to three, 1.17% in months four through six and 1.02% in months seven through nine.

This effect was most pronounced in smaller firms, with CFOs obtaining higher returns in the smallest three size quartiles, but not in then highest size quartile.

Prior to the 2002 passage of Sarbox, insiders had as many as 40 days to disclose their trades, as opposed to the current two days. By looking at the longer potential lag in pre-2002 reporting, the authors found that, "surprisingly," CFOs made out better than CEOs on their trades, even when measured after the filing date, outperforming their bosses by 4.62% over a 12-month period.

"Our primary contribution to the insider trading literature is that we show trades by different corporate executives reveal different private information and that CFOs trades are more informative than those of CEOs," the paper states.