Avkastning av insiderhandel : Ett mått på andelen privat information i förhållande till publik information

Sammanfattning: Every day a large numbers of transactions occur by people with different backgrounds. Insiders’ are a part of them and are considered to have an insight in companies that is not accessible to outsiders. This affects the market conditions for the participants when trading stocks, where individual participants regularly have the possibility to earn abnormal returns at the expense of others. Although Sweden, Germany and the United States continually keep developing the insider trading regulation, research shows that insiders’ still have the ability to earn abnormal returns. The difference in insiders’ ability to earn abnormal returns is believed to be because of that the countries are from different legal families, which in turn influence the market conditions where the insider trading occurs. The purpose is to examine whether legal insider trading generates abnormal return relative to index and analyze whether there are differences between the studied countries and what the differences may be due. Method: The study takes ledge in previous research using a quantitative method where 90 sorted companies in Sweden, Germany and the U.S. are used to gather insider transactions between 2006 and 2012. The data is then analyzed with statistical methods to find answers to the purpose of the study. The results shows that insiders have abnormal return for both the buy and sell transactions, which prove that there is an information gap between insiders and external stakeholders. The legal origin may have an effect on the relationship when it is linked to insiders’ abnormal return through ownership concentration and accounting quality, which in turn affects insiders’ ability to generate abnormal returns. The insiders’ position has also shown to have an impact on the abnormal returns, but is not completely consistent with the theory of information hierarchy.