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The performance of corporate legal insiders on the French stock market

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  • Nivelleau De La Brunière, Stanislas
  • Haye, Jean-Come
  • Mazza, Paolo

Abstract

This paper aims to examine the performance of legal insiders on the French market, from January 2011 to December 2017. We focus on purchase transactions in order not to face the many reasons that can force investors to close their position. Our results suggest that insiders generate an excess return over the SBF120 index on the short run. An outsider mimicking insiders’ actions can generate similar profits. This implies that their informational advantage is rather short-lived. However, both of them fail to beat simulated random investors in general. Our findings highlight that the outperformance is rather stock-specific: insiders beat random investors for some stocks. We also disentangle management from non-management insiders and show that non-management insiders generate a lower average excess return than management insiders. Our simulation setup however shows that none of the groups is able to beat random investors for all the stocks, even if management insiders outperform the simulated series in more cases than non-management insiders.

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  • Nivelleau De La Brunière, Stanislas & Haye, Jean-Come & Mazza, Paolo, 2020. "The performance of corporate legal insiders on the French stock market," International Review of Law and Economics, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:irlaec:v:61:y:2020:i:c:s0144818819300948
    DOI: 10.1016/j.irle.2019.105880
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    Cited by:

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    More about this item

    Keywords

    Insider; French stock market; Simulation; Trader’s behavior; Position;
    All these keywords.

    JEL classification:

    • K00 - Law and Economics - - General - - - General (including Data Sources and Description)
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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