Abnormal returns in insider trading - A study on the efficiency of the Swedish stock market and insider trading legislation

Sammanfattning: The purpose of this paper is to study the efficiency of the Swedish stock market and its insider trading legislation. This is done by measuring both the occurrence and timing of abnormal returns among corporate insiders. In addition, we also study if there are differences in abnormal returns between insiders in companies of different sizes, between purchase- and sale transactions and between different types of insiders. The results show that all types of insiders, in all company sizes and for both purchase- and sale transactions receive positive abnormal returns in the year following their transactions. The levels of abnormal returns vary but are all significant, both statistically and economically. Furthermore, the results show that there is no difference between purchase- and sale transactions, but that there are some differences between companies of different sizes as well as between different types of insiders.