51 Pages Posted: 23 Jul 1998 Last revised: 27 Oct 2008
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 Classification: G12, G14
Suggested Citation: Suggested Citation
Eckbo, B. Espen and Smith, David C., The Conditional Performance of Insider Trades. Journal of Finance, Vol. 53, pp. 467-498, 1998; Tuck School of Business Working Paper. Available at SSRN: https://ssrn.com/abstract=98727