Legal insider trading and stock market reaction: evidence from the Netherlands

Nihat Aktas, Eric de Bodt, Jan de Smedt and Ilham Riachi
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Nihat Aktas: Université catholique de Louvain (UCL). Center for Operations Research and Econometrics (CORE)
Eric de Bodt: Université catholique de Louvain (UCL). Center for Operations Research and Econometrics (CORE)

No 2007067, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper provides an analysis of legal insider trading on the Euronext Amsterdam stock exchange by using data published in the register held by the AFM, the dutch financial markets authority. The sample includes 822 transactions executed by corporate insiders between the beginning of January 1999 and the end of September 2005. Our analysis shows that the financial markets' response is not significant for purchases, and that the abnormal returns associated with the sales do not have the expected sign. However, over a longer time horizon, the average cumulated abnormal returns are positive for the stocks purchased, and negative for stocks sold by insiders. This result suggests either that insiders use long-term information for their trading activities or that they are able to time the market.

Date: 2007-09-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2007067

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