Decoding Insider Information on the Swedish Stock Market
(2011)Department of Business Administration
- Abstract
- This study aims to classify insiders of firms listed on the OMX Stockholm stock exchange into two groups, one group whose trading contain strong predictive power of the future returns of the firms stock and one group whose trading contain as little predictive power as possible. The abnormal returns of these two groups of insiders are then compared. The abnormal returns are estimated using an event study methodology. The study finds that buy transactions by insiders defined as opportunistic are associated with higher abnormal return than buy transactions by insiders classified as routine during the longer term event windows. It is also found that buy transactions by insiders defined as opportunistic are associated with higher abnormal... (More)
- This study aims to classify insiders of firms listed on the OMX Stockholm stock exchange into two groups, one group whose trading contain strong predictive power of the future returns of the firms stock and one group whose trading contain as little predictive power as possible. The abnormal returns of these two groups of insiders are then compared. The abnormal returns are estimated using an event study methodology. The study finds that buy transactions by insiders defined as opportunistic are associated with higher abnormal return than buy transactions by insiders classified as routine during the longer term event windows. It is also found that buy transactions by insiders defined as opportunistic are associated with higher abnormal return than buy transactions by insiders classified as routine during the longer term event windows. All insider transactions are generally associated with positive abnormal returns. By classifying Swedish insiders as routine and opportunistic using the method previously used by Cohen et al (2010), the transactions of the opportunistic insiders contain somewhat stronger predictive power of the future returns of the firm, however, this predictive power is not by far as strong as Cohen et al (2010) found it to be in there study on the American stock market. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1982610
- author
- Wickström, Hans and Smith, Axel
- supervisor
- organization
- year
- 2011
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Insider trading, Routine insider trading, Opportunistic insider trading, Event study, Market model, CAAR, Signaling effect, Efficient market hypothesis., Management of enterprises, Företagsledning, management
- language
- Swedish
- id
- 1982610
- date added to LUP
- 2011-06-01 00:00:00
- date last changed
- 2012-04-02 18:52:20
@misc{1982610,
abstract = {{This study aims to classify insiders of firms listed on the OMX Stockholm stock exchange into two groups, one group whose trading contain strong predictive power of the future returns of the firms stock and one group whose trading contain as little predictive power as possible. The abnormal returns of these two groups of insiders are then compared. The abnormal returns are estimated using an event study methodology. The study finds that buy transactions by insiders defined as opportunistic are associated with higher abnormal return than buy transactions by insiders classified as routine during the longer term event windows. It is also found that buy transactions by insiders defined as opportunistic are associated with higher abnormal return than buy transactions by insiders classified as routine during the longer term event windows. All insider transactions are generally associated with positive abnormal returns. By classifying Swedish insiders as routine and opportunistic using the method previously used by Cohen et al (2010), the transactions of the opportunistic insiders contain somewhat stronger predictive power of the future returns of the firm, however, this predictive power is not by far as strong as Cohen et al (2010) found it to be in there study on the American stock market.}},
author = {{Wickström, Hans and Smith, Axel}},
language = {{swe}},
note = {{Student Paper}},
title = {{Decoding Insider Information on the Swedish Stock Market}},
year = {{2011}},
}