Post-Transaction AbnormalReturns After Insider Trading : A Comparison of Small and Large-Cap Firms in Swedenusing Ordinary Least Squares Regression

Sammanfattning

This thesis investigates whether insider trading is followed by abnormal returnsin the Swedish stock market and whether these effects differ between small-capand large-cap firms. Using an event study methodology, insider transaction datafrom Finansinspektionen is combined with stock price data from Yahoo Financeto calculate cumulative abnormal returns (CAR) over multiple post-event windows. The results show that insider purchases are consistently followed by positive abnor-mal returns across all examined time horizons, indicating that such transactionscontain value relevant information not immediately incorporated into stock prices.Furthermore, the findings suggest that the magnitude of abnormal returns is gen-erally higher for small-cap firms than for large-cap firms. However, cross-sectionalregression analysis reveals that this difference is partly explained by transactioncharacteristics, particularly the relative size of the purchase, rather than firm sizealone. Overall, the study provides evidence of delayed market reactions to insider tradingdisclosures, challenging the semi-strong form of market efficiency. The results high-light the importance of information asymmetry and signal strength in explainingpost-insider transaction stock price behavior.