Insiders and Systematic Abnormal Returns - A Case Study on the Romanian Capital Market

Abstract

The aim of this article is to offer some insights into the Romanian investors’ behavior by examining insiders’ transactions and checking for possible abnormal returns. We analyze the behavior of institutional and individual insiders using a data sample of 158 investors for the period 2013-2017. Results show excessive abnormal returns registered by individuals, especially men, compared to companies. We identify different investment strategies performed by these investors: individuals tend to keep their assets for a shorter time in their portfolio than corporations do, the latter being more interested in long term earnings; while the extremes (maximum and minimum returns) are recorded by men, women earn a higher mean abnormal return than men.