The Conditional Performance of Insider Trades |
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Authors: | B. Espen Eckbo,& David C. Smith |
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Affiliation: | Stockholm School of Economics and the Norwegian School of Economics and Business Administration,;Norwegian School of Management |
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Abstract: | 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. |
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