Trading on the Inside- An Analysis of Insider Trading and Informational Value Decompositions

Abstract

This thesis investigates whether insider purchases and sales by CEOs and CFOs in Sweden are associated with abnormal stock returns, focusing on long-term, risk-adjusted performance. To evaluate differences in informativeness, we decompose insider trades by trade volume, firm size, valuation, and holding period. The results show that abnormal returns are primarily concentrated in high-volume purchases and small-cap firms, particularly in the short term, suggesting that these trade characteristics carry stronger informational value. In contrast, insider sales do not consistently predict future performance. These findings highlight that insider trades vary in informativeness depending on trade-specific attributes.