Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/12925
Título: An investigation of market reactions on legal insider trading : a research on the Portuguese Stock Market
Autor: Corrêa, Francisco do Carmo Ribeiro
Orientador: Faias, José
Palavras-chave: Insider Trading
Insider Information
Event Study
Market Reaction
Cumulative Abnormal Return
Data de Defesa: 4-Jun-2012
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.
URI: http://hdl.handle.net/10400.14/12925
Aparece nas colecções:R - Dissertações de Mestrado / Master Dissertations
FCEE - Dissertações de Mestrado / Master Dissertations

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