An investigation of insider trading profits in the Spanish stock market

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March 2002, Volume42(Issue1) Page73To94

This paper investigates the profitability and information content of insider trading in the Spanish stock market. Our results show that insiders earn excess profits when investing on corporate nonpublic information, while outsiders mimicking them fail to obtain those excess returns. The paper also investigates the relevance of a third party investing on the insider’s behalf. The study further focuses on some methodological aspects, such as the need to take estimation periods that are not affected by other events or by other prediction periods, and the need to allow volatility during insider trading events to have interday memory.

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doi: 10.1016/S1062-9769(01)00103-X