Performance of mimickers of insider trading in HOSE stock exchange
Abstract
Many prior researchers have found that insiders have abnormal returns when they trade securities in their own firms (e.g., Seyhun 1986 and 1992, Rozeff and Zaman 1988). In addition, insiders can earn abnormal returns from their trading in Vietnamese stock market (Dong, 2011). Therefore, the objective of this study is to investigate when insiders can earn abnormal returns in their stock trading, whether outsiders who mimic insider transactions (purchases and sales) can earn abnormal returns. Also, the anecdotal evidence suggests that outsiders can earn abnormal returns by using public available insider trading data (e.g., Peers 1992 and Giplin 1994). In contrast, with the event study and the look at insider data from 2008 to 2010, the findings of this thesis show that outsiders can’t earn an abnormal return in short-term holding period, although the noisy factors are filtered. However, the results show that sale insider transactions are more
informative than purchase insider transactions.