Insider Trading Performance in the Taiwan Stock Market

Abstract

This paper investigates the performance of insider trading on the Taiwan Stock Exchange. In addition to a traditional single-factor model, the conditional Jensen’s alpha approach proposed by Eckbo and Smith (1998) is employed as well. We also compare performances between mutual funds and insider portfolios. The empirical results show that insider trading does not gain any abnormal returns as found in previous studies, which is robust to weighting schemes and portfolio construction methods. Moreover, mutual funds weakly outperform insider portfolios, which leads to a conjecture that insiders may seek_x000D_ benefits of corporate control instead of short-term trading profits.