Insynshandel som indikator på övervavkastning

Abstract

The purpose of the thesis is to investigate whether it is possible to predict future excess returns at the Swedish stock market by observing the insiders' aggregate purchase transactions within the company. The study used two different categories of companies. One group of the bigger companies at the Swedish stock market and one group of the smaller ones. The study used three different time periods consisting of one week, one month and twelve months. The time periods refer to the relative return and the aggregate insiders' purchases in the stocks. The thesis is done with an alpha of 5 %. The results for one-week Small companies showed that the stock generates 0,955 % excess returns for every million SEK insiders' purchases in that stocks during that period. The regression for one-month Small companies showed that the stock generates 1,37 % excess returns for every million SEK insiders' purchases in that stocks during that period. The other regressions showed no statistical significance for the dependent variable. The discussion focuses on the potential causes to the differences in the result between the two groups of companies.