The Conditional Performance of Insider Trades

  • Author(s): B. Espen Eckbo, David C. Smith
  • Published: Dec 17, 2002
  • Pages: 467-498
  • DOI: 10.1111/0022-1082.205263

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.

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