Insider trading: um estudo sobre a rentabilidade das operações com ações da própria empresa

Abstract

This study verifies that the operations performed by insider trading with shares of the company earn higher returns than the market average. In this sense it is important to identify possible movements Insider traders, as well as evidence of abnormal returns. This could help regulators to be more effective in the deterrence of such operations. To this end, we collected 38 141 operations, obtained in 9945 Forms 167 companies with liquidity in the stock exceeds 1% who were sent to CVM monthly from January 2006 to December 2011. The method used to determine the average abnormal return was the study of events, defined from the model of Campbell, Lo and Mackinlay (1997). For the design of the final sample remaining 109 companies of which 665 were found to operations stood out for having much higher than average volumes of transactions made by insiders of their respective companies. Of these 665 operations, 474 (71.28%) had abnormal returns. Thus, we found 281 transactions of sale and purchase of 193 operations performed by insiders who diagnosed abnormal returns. The shares sold by insiders showed average abnormal return of -3.73%, -7.03% and -10.12% after 30, 90 and 180 days from the date of sale, which suggests that insiders held some information unknown to the market and the anticipated future selling their shares fall. Since the operations of purchases by insiders traders were followed by high shares, which suggests that the use of advance information about the market to make purchases with positive abnormal returns that were respectively +5.49%, +8 , and 03% +10.12% after 30, 90 and 180 days. Then, several procedures were performed to assess the profitability achieved by insiders according to the control type, source of capital, industry, corporate governance segment, type of transactions, transactions by insiders and company size. These tests and procedures only confirmed the returns found in the general computation as the presence of insider trading in the Brazilian stock market.