The Profitability of Insider Trades in the Dutch Stock Market

VBA Journaal, Vol. 19, No. 4, pp. 15-23, Winter 2003

Posted: 9 Feb 2004

See all articles by Mathijs A. Biesta

Mathijs A. Biesta

Erasmus University Rotterdam

Ronald Q. Doeswijk

Independent

Han A. Donker

University of Northern British Columbia - School of Business

Multiple version iconThere are 2 versions of this paper

Abstract

This study examines the profitability of insider trading on Euronext Amsterdam. To improve market transparency, disclosure of insider trading has been required in the Netherlands since April 1999. Both a short-term event study and a 6-month buy-and-hold strategy revealed that insiders as well as outsiders mirroring insiders are able to realize abnormal returns. We report outperformances for insider purchase portfolios of between 8.9% and 9.3% over 6 months, after correcting for possible size and value/growth effects in our sample. A CAPM check showed our results to be robust.

Keywords: Buy-and-hold strategy, Dutch stock market, event study, insider trading

JEL Classification: G12, G14, G18, M41, M45

Suggested Citation

Biesta, Mathijs A. and Doeswijk, Ronald Q. and Donker, Han A., The Profitability of Insider Trades in the Dutch Stock Market. VBA Journaal, Vol. 19, No. 4, pp. 15-23, Winter 2003, Available at SSRN: https://ssrn.com/abstract=497306

Mathijs A. Biesta (Contact Author)

Erasmus University Rotterdam ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Han A. Donker

University of Northern British Columbia - School of Business ( email )

3333 University Way
Prince George, BC, British Columbia V2N 4Z9
Canada

HOME PAGE: http://www.unbc.ca

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