When Insider Signals Meet Uncertainty: PDMR Disclosures, Abnormal Returns, and Economic Policy Uncertainty in the Swedish Stock Market

Sammanfattning

This thesis examines whether outside investors can earn abnormal returns by mimicking publicly disclosed insider transactions in the Swedish stock market, and whether such returns are conditioned by the level of economic policy uncertainty. Using transaction-level data from the Swedish Financial Supervisory Authority's PDMR register between 2019 and 2024, insider purchases and sales are matched with daily stock returns and firm-level control variables. Cumulative abnormal returns are estimated using a Market Model event study across four event windows surrounding the publication date, and cross-sectional OLS regressions relate these returns to a standardised Economic Policy Uncertainty (EPU) index, profitability, leverage, firm size, and valuation controls. Insider purchases are not followed by positive abnormal returns; mean returns are close to zero in the shortest window and become significantly negative over longer horizons. Insider sales, by contrast, are followed by negative abnormal returns that emerge immediately and persist across windows, indicating an asymmetric market response to transaction type. A pooled regression of signed cumulative abnormal returns confirms this asymmetry formally, economic policy uncertainty significantly suppresses the abnormal returns associated with insider purchases in the central event windows, while leaving the response to insider sales unaffected. The result is robust to alternative specifications of the uncertainty measure and to the inclusion of year fixed effects. The findings are consistent with semi-strong market efficiency in a transparent disclosure environment and indicate that macroeconomic uncertainty conditions the informational content of insider purchase signals through a signal-distortion channel rather than by amplifying insiders' informational advantage.