The Profitability of Insider Trades in the Dutch Stock Market
26 Pages Posted: 10 Feb 2004
Date Written: September 2003
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
Suggested Citation: Suggested Citation