PT - JOURNAL ARTICLE AU - Kaspar Dardas TI - Identifying Profitable Insider Transactions AID - 10.3905/joi.2012.21.2.061 DP - 2012 May 31 TA - The Journal of Investing PG - 61--75 VI - 21 IP - 2 4099 - https://pm-research.com/content/21/2/61.short 4100 - https://pm-research.com/content/21/2/61.full AB - This article examines long-term excess returns subsequent to directors’ dealings announcements between January 2002 and December 2009 from 17Western European countries. Excess returns are adjusted with equally weighted portfolios that are size and sector neutral. The main findings show that long-term positive (negative) excess returns exist after insider purchase (sell) transactions. Moreover, a simple technique is introduced to detect the most informative directors’dealings, where each transaction is categorized as a low-,medium-, or high-conviction trade. Based on this categorization, out-of-sample high-conviction insider purchases generate an average 12-month excess return of 20.94%, medium-conviction purchases generate 1.32%, and low-conviction purchases generate -3.40%.TOPICS: Legal/regulatory/public policy, statistical methods, equity portfolio management