The Conditional Performance Of Insider Trades  

Oleh:

ECKBO, B. ESPEN ; Smith, David C.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 53 no. 2 (Apr. 1998), page 467-489.
Topik: Insider trading; performance; Olso Stock Exchange (OSE)
Fulltext: p 467.pdf (168.61KB)

Isi artikel

This paper estimates the performance of insider trades on the closely held Oslo Stock Exchange (OSE) during a period of lax enforcement of insider trading regulations. Our data permit construction of a portfolio that tracks all movements of insiders in and out of the OSE firms. Using three alternative performance estimators in a time-varying expected return setting, we document zero or negative abnormal performance by insiders. The results are robust to a variety of trade characteristics. Applying the performance measures to mutual funds on the OSE, we also document some evidence that the average mutual fund outperforms the insider portfolio.

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