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Do Insiders know best? : A study of reported insider trades in the Norwegian and Swedish Stock Market.

Fjellestad, Martin Brenne; Encinas, Mario A.
Master thesis
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2033409.pdf (2.972Mb)
Preliminary 2018.pdf (1.608Mb)
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http://hdl.handle.net/11250/2579644
Utgivelsesdato
2018
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Samlinger
  • Master of Science [1116]
Sammendrag
In this thesis we investigate insider trading on Oslo and Stockholm stock market.

We analyze 2515 insider trades in Norway from 21.09.2010 - 20.12.2017 and 3825

trades in Sweden from 01.01.2014 - 09.02.2017.

To observe the insider effects, we applied the same event study approach as

MacKinlay (1997). From this we find that cumulative abnormal returns are

significantly different from zero for both countries in the short term event window.

Market value was shown to have a negative effect on CAR from buy transactions

in both countries and to have an insignificant (Norway) or significantly positive

(Sweden) effect on CAR from sell transactions. The effect of price to book value is

somewhat negative for buy transactions in the shorter term in Norway and for all

event windows in Sweden. Differences in CAR that can be attributed to insider

position are generally small.

Our results indicate the speedier reporting in Sweden after the legislation change

does not trigger any lager market reactions and thus not provide any more

information value to the market. The main result of our study is that both mean and

median cumulative abnormal returns are significantly higher than zero soon after

the buy events and significantly lower than zero after the sell events. Overall, the

conclusion is that there have been more opportunities for enjoying positive

abnormal returns in Norway than in Sweden.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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