An Empirical Analysis of Legal Insider Trading in the Netherlands

H.A. Degryse, F.C.J.M. de Jong, J.J.G. Lefebvre

Research output: Working paperDiscussion paperOther research output

Abstract

In this paper, we employ a registry of legal insider trading for Dutch listed firms to investigate the information content of the trades by corporate insiders. Using the standard event-study methodology, we examine short-term stock price behavior around trades. We find that purchases are followed by economically large abnormal returns. This result is strongest for purchases by top executives and for small market capitalization firms, which is consistent with the hypothesis that legal insider trading is an important channel through which information flows to the market. We analyze also the impact of the implementation of the Market Abuse Directive (European Union Directive 2003/6/EC), which strengthens the existing regulation in the Netherlands. We show that the new regulation reduced the information content of sales by top executives.
Original languageEnglish
Place of PublicationTilburg
PublisherTILEC
Number of pages49
Volume2009-026
Publication statusPublished - 2009

Publication series

NameTILEC Discussion Paper
Volume2009-026

Fingerprint

Information content
Empirical analysis
Purchase
The Netherlands
Insider trading
Information flow
Event study methodology
Registry
European Union
Stock prices
Insider
Abnormal returns
Market abuse
Market capitalization

Keywords

  • Insider trading
  • Financial market regulation

Cite this

Degryse, H. A., de Jong, F. C. J. M., & Lefebvre, J. J. G. (2009). An Empirical Analysis of Legal Insider Trading in the Netherlands. (TILEC Discussion Paper; Vol. 2009-026). Tilburg: TILEC.
Degryse, H.A. ; de Jong, F.C.J.M. ; Lefebvre, J.J.G. / An Empirical Analysis of Legal Insider Trading in the Netherlands. Tilburg : TILEC, 2009. (TILEC Discussion Paper).
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Degryse, HA, de Jong, FCJM & Lefebvre, JJG 2009 'An Empirical Analysis of Legal Insider Trading in the Netherlands' TILEC Discussion Paper, vol. 2009-026, TILEC, Tilburg.

An Empirical Analysis of Legal Insider Trading in the Netherlands. / Degryse, H.A.; de Jong, F.C.J.M.; Lefebvre, J.J.G.

Tilburg : TILEC, 2009. (TILEC Discussion Paper; Vol. 2009-026).

Research output: Working paperDiscussion paperOther research output

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Degryse HA, de Jong FCJM, Lefebvre JJG. An Empirical Analysis of Legal Insider Trading in the Netherlands. Tilburg: TILEC. 2009. (TILEC Discussion Paper).