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Insider Trading at the Swedish Stock Market- To What Extent Can the Behaviour of Insiders be Mimicked to Obtain Abnormal Returns?

Gustafsson, Fredrik and Johansson, Niklas (2011)
Department of Business Administration
Abstract
PURPOSE:
The main purpose of this thesis is to determine to what extent, if any, outsiders are able to obtain abnormal returns by mimicking the behaviour of insiders at the Swedish stock market prior to earnings announcement. By making separations this study will hopefully provide some advice when the abnormal returns are most likely to happen when outsiders mimic insiders. METHODOLOGY:
This study is implemented through a quantitative approach. Separations between kind of insiders, Market-to-Book values of the companies, financial crisis vs. non-crisis and size of the company are made in order to increase the comparability to other studies. Two statistical tests are performed in order to determine if the results are significant.... (More)
PURPOSE:
The main purpose of this thesis is to determine to what extent, if any, outsiders are able to obtain abnormal returns by mimicking the behaviour of insiders at the Swedish stock market prior to earnings announcement. By making separations this study will hopefully provide some advice when the abnormal returns are most likely to happen when outsiders mimic insiders. METHODOLOGY:
This study is implemented through a quantitative approach. Separations between kind of insiders, Market-to-Book values of the companies, financial crisis vs. non-crisis and size of the company are made in order to increase the comparability to other studies. Two statistical tests are performed in order to determine if the results are significant. THEORETICAL PERSPECTIVE:
This study is built upon previous research in the area of insider trading. The most important theory for this study is the efficient market hypothesis. Other important theories are information asymmetry and signalling hypothesis. EMPIRICAL FOUNDATION:
Insider transactions around the full year reports for companies listed at Nasdaq OMX Stockholm during 2007-2010 are studied. Companies that are listed or delisted during the period are included the years when there is sufficient information. CONCLUSION:
The result from this study suggests that it is good to follow the insiders with most information in order to obtain abnormal returns. No clear relationship between firm size, Market-to-Book and abnormal returns is established. Following insiders during good or normal times is superior to follow them during a crisis. (Less)
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author
Gustafsson, Fredrik and Johansson, Niklas
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Insider Trading, Abnormal Returns, Earnings Announcement, Event Study, Efficient Markets, Management of enterprises, Företagsledning, management
language
Swedish
id
1977461
date added to LUP
2011-05-31
date last changed
2012-04-02 18:54:29
@misc{1977461,
  abstract     = {PURPOSE:
The main purpose of this thesis is to determine to what extent, if any, outsiders are able to obtain abnormal returns by mimicking the behaviour of insiders at the Swedish stock market prior to earnings announcement. By making separations this study will hopefully provide some advice when the abnormal returns are most likely to happen when outsiders mimic insiders. METHODOLOGY:
This study is implemented through a quantitative approach. Separations between kind of insiders, Market-to-Book values of the companies, financial crisis vs. non-crisis and size of the company are made in order to increase the comparability to other studies. Two statistical tests are performed in order to determine if the results are significant. THEORETICAL PERSPECTIVE:
This study is built upon previous research in the area of insider trading. The most important theory for this study is the efficient market hypothesis. Other important theories are information asymmetry and signalling hypothesis. EMPIRICAL FOUNDATION:
Insider transactions around the full year reports for companies listed at Nasdaq OMX Stockholm during 2007-2010 are studied. Companies that are listed or delisted during the period are included the years when there is sufficient information. CONCLUSION:
The result from this study suggests that it is good to follow the insiders with most information in order to obtain abnormal returns. No clear relationship between firm size, Market-to-Book and abnormal returns is established. Following insiders during good or normal times is superior to follow them during a crisis.},
  author       = {Gustafsson, Fredrik and Johansson, Niklas},
  keyword      = {Insider Trading,Abnormal Returns,Earnings Announcement,Event Study,Efficient Markets,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Insider Trading at the Swedish Stock Market- To What Extent Can the Behaviour of Insiders be Mimicked to Obtain Abnormal Returns?},
  year         = {2011},
}