Insider Trading: Do Insiders from Large Investment Companies Earn a Higher Abnormal Return than Other Insiders on the Swedish Stock Market?

Detta är en D-uppsats från Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

Sammanfattning: The purpose of this thesis is to analyze if insiders from large Swedish investment companies earn a higher abnormal return relative to other Swedish insiders when making insider trades. In this thesis are Industrivärden, Investor, Kinnevik, Latour, Lundbergs and Melker Schörling defined as large investment companies. We analyze transactions from the Swedish stock market during 2001-2009 by using an event study methodology, with an event window of six months. The study uses a sample of 29,080 insider transactions, where 2,430 of the transactions are made by insiders representing the large investment companies. The six month abnormal return has been calculated using both a value weighted and an equally weighted index. Our main findings are that large investment companies´ insiders, relative to other insiders, have a statistically significant negative abnormal return of 3.69% on their buy transactions using a value weighted index. However, on their sell transactions, the large investment companies´ insiders outperform the other insiders with a statistically significant abnormal return of 6.54% when using a value weighted index. We cannot conclude whether insiders from large investment companies on average are able to make any abnormal return or not relative to other insiders on a six month basis in our sample.

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