Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Insider trading Insider information Event study Market reaction Cumulative Abnormal Return