Abnormal returns from insider trading - does insider trading generate abnormal returns for the Swedish stock exchange and large cap Stockholm?

Abstract

This paper studies insider trading and abnormal returns on the Large Cap list of the Swedish stock exchange using a sample of 119 firms and 10528 individual transactions between the period 2016-2022. The study is built on the theoretical framework of the efficient market hypothesis and information asymmetry. The research questions are answered using an event study combined with a regression model for hypothesis testing. The results imply that insider trading generates abnormal returns. Furthermore, the study finds a difference in the extent of abnormal returns when comparing buy- and sell transactions. However, similar results are not found when comparing insiders of different seniority. When considering individual days, the results indicate that abnormal returns occur the day before, one- and two days after the day of which news of insider transactions are published.