The conditional performance of insider trades

• 成果类型: Article
• 署名作者: Eckbo, BE; Smith, DC
• 署名单位: Stockholm School of Economics; Norwegian School of Economics (NHH); BI Norwegian Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.205263
• 发表日期: 1998
• 页码: 467-498
• 关键词: PRICING-MODELS; returns; MARKET; RISK; predictability; INFORMATION

摘要

This paper estimates the performance of insider trades on the closely held Oslo Stock Exchange (OSE) during a period of lax enforcement of insider trading regulations. Our data permit construction of a portfolio that tracks all movements of insiders in and out of the OSE firms. Using three alternative performance estimators in a time-varying expected return setting, we document zero or negative abnormal performance by insiders. The results are robust to a variety of trade characteristics. Applying the performance measures to mutual funds on the OSE, we also document some evidence that the average mutual fund outperforms the insider portfolio.