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The Conditional Performance of Insider Trades
B. Espen Eckbo Dartmouth College - Tuck School of Business; European Corporate Governance Institute (ECGI) David C. Smith University of Virginia (UVA) - McIntire School of Commerce Journal of Finance, Vol. 53, pp. 467-498, 1998 Tuck School of Business Working Paper 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 permits 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.
JEL Classifications: G12, G14 Accepted Paper SeriesDate posted: July 23, 1998 ; Last revised: October 27, 2008Suggested CitationContact Information
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