An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market

Detalhes bibliográficos
Autor(a) principal: Corrêa, Francisco do Carmo Ribeiro
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/12925
Resumo: This dissertation investigates the market reaction, parameterized by Cumulative Abnormal Returns (CARs), to transactions performed by insiders of companies listed on PSI-Geral, assuming these trades have important information content, and outsiders believe on the superior information insiders’ possess. An event-study methodology to measure the impact of these trades on a 50-working day window is used. Purchases (sales) are followed by positive (negative) statistically significant abnormal returns, and the strongest market reaction is felt on the days following the communication of trades to CMVM. To control for other specific insider and firm characteristics, a cross-sectional regression framework was run and was found strong relation between volume of transaction, holdings of insiders, firm size, book to market ratios and CARs. Results also show improvements on the enforcement of insider trading legislations, in comparison with past legal frameworks.
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spelling An investigation of market reactions on legal insider trading : a research on the Portuguese Stock MarketInsider tradingInsider informationEvent studyMarket reactionCumulative Abnormal ReturnDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis dissertation investigates the market reaction, parameterized by Cumulative Abnormal Returns (CARs), to transactions performed by insiders of companies listed on PSI-Geral, assuming these trades have important information content, and outsiders believe on the superior information insiders’ possess. An event-study methodology to measure the impact of these trades on a 50-working day window is used. Purchases (sales) are followed by positive (negative) statistically significant abnormal returns, and the strongest market reaction is felt on the days following the communication of trades to CMVM. To control for other specific insider and firm characteristics, a cross-sectional regression framework was run and was found strong relation between volume of transaction, holdings of insiders, firm size, book to market ratios and CARs. Results also show improvements on the enforcement of insider trading legislations, in comparison with past legal frameworks.Faias, JoséVeritati - Repositório Institucional da Universidade Católica PortuguesaCorrêa, Francisco do Carmo Ribeiro2013-10-10T15:25:39Z2012-06-0420122012-06-04T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/12925enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-15T01:39:31Zoai:repositorio.ucp.pt:10400.14/12925Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:10:22.994293Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
title An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
spellingShingle An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
Corrêa, Francisco do Carmo Ribeiro
Insider trading
Insider information
Event study
Market reaction
Cumulative Abnormal Return
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
title_full An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
title_fullStr An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
title_full_unstemmed An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
title_sort An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
author Corrêa, Francisco do Carmo Ribeiro
author_facet Corrêa, Francisco do Carmo Ribeiro
author_role author
dc.contributor.none.fl_str_mv Faias, José
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Corrêa, Francisco do Carmo Ribeiro
dc.subject.por.fl_str_mv Insider trading
Insider information
Event study
Market reaction
Cumulative Abnormal Return
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Insider trading
Insider information
Event study
Market reaction
Cumulative Abnormal Return
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This dissertation investigates the market reaction, parameterized by Cumulative Abnormal Returns (CARs), to transactions performed by insiders of companies listed on PSI-Geral, assuming these trades have important information content, and outsiders believe on the superior information insiders’ possess. An event-study methodology to measure the impact of these trades on a 50-working day window is used. Purchases (sales) are followed by positive (negative) statistically significant abnormal returns, and the strongest market reaction is felt on the days following the communication of trades to CMVM. To control for other specific insider and firm characteristics, a cross-sectional regression framework was run and was found strong relation between volume of transaction, holdings of insiders, firm size, book to market ratios and CARs. Results also show improvements on the enforcement of insider trading legislations, in comparison with past legal frameworks.
publishDate 2012
dc.date.none.fl_str_mv 2012-06-04
2012
2012-06-04T00:00:00Z
2013-10-10T15:25:39Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/12925
url http://hdl.handle.net/10400.14/12925
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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