• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
For visually-impairedUser profile (HSE staff only)SearchMenu

Profitability of Informed Insiders and Market Efficiency

ФИО студента: Semin Victor

Руководитель: Luca Gelsomini

Кампус/факультет: International College of Economics and Finance

Программа: Double Degree Programme in Economics of the NRU HSE and the University of London (Bachelor)

Оценка: 8

Год защиты: 2019

This study expands the academic field devoted to revealing insiders whose transactions serve as a strong predictor of future market returns. The study combines the most successful approaches of distinguishing the most relevant transactions and measuring their predictive power in order to analyse whether it varies under different levels of market liquidity. It is demonstrated that results achieved by previous researchers turn out to be insignificant within particular subsamples. As a result, this study provides an important contribution by successfully challenging the existing results under certain circumstances and therefore grants an opportunity to reveal informed insiders more precisely by excluding part of irrelevant observations. At the same time, the strategy of following the distinguished transactions did not result in significant abnormal results. Therefore, no evidence against the efficient market hypothesis was discovered.

Full text (added June 13, 2019)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses