El estudio de las rentabilidades de las operaciones de los insiders corporativos es un tema vigente de investigación por sus importantes implicaciones tanto científicas (sobre la eficiencia del mercado) como políticas (efectividad de la regulación del insider trading). El presente trabajo trata de analizar el comportamiento de los insiders en dos mercados de valores situados en el mismo entorno geográfico, pero caracterizados por dos marcos legales diferentes, como son España y Reino Unido. A través de un estudio de eventos, analizamos de forma simultánea las operaciones de inversión individual de directivos empresariales en ambos mercados y analizamos sus rentabilidades en el corto plazo. Usando el estadístico estandarizado documentado en Dodd y Warner (1983), encontramos que los insiders de ambos países obtienen rentabilidades superiores tanto en ventas como en compras, siendo más significativas las compras, resultado que es consistente con la mayor parte de la literatura. Por último, se detecta una reacción mucho mayor en el mercado británico en las fechas inmediatamente posteriores a las operaciones de compra de los insiders, lo cual podría apoyar las tesis de Manne (1966) sobre la mayor rapidez en la incorporación de la información a los precios a través de las operaciones de insiders. The investigation of the returns associated to corporate insiders transactions is an outstanding topic nowadays due to its implications on both academia research (due to its influence on market efficiency) and political issues (lack of effectiveness of insider trading regulation). The current paper attempts to analyse insiders’ behaviour in two European stock markets, located in the same geographical area but characterised by different legal environments, such as UK and Spain. By using the event studies methodology, we simultaneously study insider trading profitability in both markets in the short term. By applying Dodd and Warner’s (1983) standardised test, we detect that insiders in both countries obtained abnormal returns in both their sales and purchases, although purchases seem to have a bigger information content, supporting wide previous literature. Finally, we may highlight that the higher market reaction detected in the Uk market for purchases in the post-event period seems to corroborate Manne´s (1966) thesis on the positive effects of insider trading which enables stock prices to rapidly impound insiders’ information.
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Find related papers by JEL classification: G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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