An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
Autor(a) principal: | |
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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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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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1799131778808545280 |