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Decoding Insider Information on the Swedish Stock Market

Wickström, Hans and Smith, Axel (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)
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author
Wickström, Hans and Smith, Axel
supervisor
organization
year
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
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},
  keyword      = {Insider trading,Routine insider trading,Opportunistic insider trading,Event study,Market model,CAAR,Signaling effect,Efficient market hypothesis.,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Decoding Insider Information on the Swedish Stock Market},
  year         = {2011},
}