Estimating the Returns to Insider Trading on Oslo Børs : An Empirical Study

In this paper we investigate insider trades on Oslo Børs. More specifically, w e explore the market reaction to in sider trades, the abnormal returns earned by insiders in the long run, and finally we investigate whether outsiders can earn money by mimicking insider trades. Our analy sis is conducted for the period 01.01.2010 – 26 . 09 .2014. Using an event study approach, we document a strong initial market reaction to insider trades, particularly insider trades made by managers and directors, and insider trades in firms with recent financial distress. We also find some evidence of long term abnormal returns for insiders i n certain firm categories, and for certain types of insiders. Finally, we develop an insider portfolio that outperforms the benchmark using standard performance measurements, but we do not find any significant alphas. We conclude that there are information al asymmetries between outsiders and insiders, and that the market does not hold strong - form efficiency. Our study has implications for those who seeking to earn abnormal returns by following insider based strategies