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Mimic an insider and beat the market: Can you earn abnormal returns following the trades of an insider?
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
2020 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis aims to investigate if there exist any possibilities for abnormal returns when following an insider's purchases and if there are any differences in results between the Swedish market and the U.S market. 147 companies were included in this study from both Sweden and U.S with data being collected from 2016 to the end of 2019. CAPM was used to calculate expected return which then was compared to the actual return, to first find Jensen's Alpha which would support the theory of the "signaling effect". When this theory was supported by the data, transaction costs were included to see if it is worthwhile to follow an insider. The results show possibilities for abnormal returns after transaction costs in Sweden, but no significant results were found for U.S. Even though unreliable for U.S, the variables still show patterns of increased possible return as holding period gets longer, but with more risk.

Place, publisher, year, edition, pages
2020. , p. 41
Keywords [en]
Insider trading, abnormal return, arbitrage, efficient market hypothesis, signaling effect, beat the market
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-15547Local ID: EXC513OAI: oai:DiVA.org:hv-15547DiVA, id: diva2:1455278
Subject / course
Nationalekonomi
Educational program
Mäklarekonomprogrammet, fastighet och finans
Supervisors
Examiners
Available from: 2020-07-24 Created: 2020-07-23 Last updated: 2020-07-24Bibliographically approved

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  • apa
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Language
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  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf