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The impact of trade-specific factors on insiders’ excess returns: An evaluation of information asymmetry dynamics in the modern market environment of the Stockholm Stock Exchange
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Transaktionsspecifika faktorers påverkan på insynspersoners överavkastning : En undersökning av informationsasymmetrin under de moderna marknadsförhållandena på Stockholmsbörsen (Swedish)
Abstract [en]

“An insider is a person who by his or her position in the company is regarded to have particularly advantageous possibilities to gain confidential information about the company.” – Finansinspektionen

Replicating investment decisions made by insiders is a frequently discussed and studied investment strategy. The rationale lies in the notion that insiders should have better understanding of the future performance of the company by which they are employed, and therefore replicating their investments seems intuitively as a good strategy for achieving excess returns.

Numerous studies have verified that insiders have managed to achieve excess returns historically. However, what has not been examined as extensively is how insider trades differ in signal value in the modern stock market environment of today. This thesis addresses this very issue by combining qualitative and quantitative finance theories with a data-driven, mathematical analysis of the risk-adjusted return of all insider transactions made on the Stockholm Stock Exchange during the last ten years. The method is based on regression analysis applied to two investment horizons. The result is a mathematical mapping that describes the historical signal value of different insider trade-specific drivers.

Abstract [sv]

“En insynsperson är en person som genom sin ställning i bolaget anses ha särskilt goda förutsättningar att få tillgång till förtrolig information om bolaget.” – Finansinspektionen

Att följa insynspersoners investeringsbeslut är en frekvent diskuterad och studerad investeringsstrategi. Rationalen ligger i id ́en att insynspersoner bör ha fördelaktig förmåga att kunna bedöma hur företaget de arbetar på kommer att prestera i framtiden, och därmed är det intuitivt att det verkar vara en bra strategi att replikera deras investeringar för att uppnå överavkastning.

Att insynspersoner har lyckats uppnå överavkastning historiskt har fastställts av flertalet studier. Vad som däremot inte har undersökts lika ingående är hur olika insynstransaktioner skiljer sig i signalvärde på dagens moderna aktiemarknadsförhållanden. Denna rapport behandlar denna ovisshet genom att kombinera kvalitativ och kvantitativ finansteori med datadriven, matematisk analys av den riskjusterade avkastningen för alla insynstransaktioner genomförda på Stockholmsbörsen under de tio senaste åren.  Metoden baseras på regressionsanalys applicerad på två investeringshorisonter. Resultatet är en matematiskt kartläggning som beskriver karaktären av de faktorer som drivit magnituden av de signalvärden som historiska insynstransaktioner har medfört

Place, publisher, year, edition, pages
2016.
Series
TRITA-MAT-K, 2016:15
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-189010OAI: oai:DiVA.org:kth-189010DiVA: diva2:942669
Subject / course
Applied Mathematical Analysis
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2016-06-26 Created: 2016-06-26 Last updated: 2016-06-26Bibliographically approved

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