Share Price Reaction To Insider Transactions

Sammanfattning: This paper examines the market reactions to insider transactions on the Swedish stock market after the implementation of the EU market abuse regulation in 2016. We have used an event-study methodology to quantitatively study the abnormal returns generated by insider trades in the short term. Furthermore, potential differences in subgroups of transactions are analysed. Our results provide strong evidence that Swedish insiders are able to earn excess returns for both acquisitions and disposals despite a stricter regulatory environment. Moreover, we find support for greater abnormal returns in firms with smaller market capitalization. Evidence provided on the information hierarchy hypothesis is mixed as the results do not unambiguously show that CEOs have the strongest signalling power. Additionally, we do not find any statistically significant difference in market reactions for different transaction sizes. In conclusion, this paper extends the previous research on insider transactions by providing new insight into the impact of market regulations.