Journal of Finance Vol. 53 No. 2 1998
The Conditional Performance of Insider Trades
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.
- DOI
- https://doi-org.proxy.lib.uiowa.edu/10.1111/0022-1082.205263
- Volume
- 53
- Issue
- 2
- Pages
- 467-498
- Sources
- bibtex:phds-export.bib