People with insight are known as insiders and they often have access to information which have not yet been publiched. Previous research show that insiders can use their information leverage to assimilate abnormal returns. The purpose of this study is to examine whether insiders in a company can generate abnormal returns by trading shares in their own company. A quantitative methodology has ben practiced in order to achieve the desired result. Data has been collected through Finansinspektionen about the insider trades on the Swedish stock market. We have further used an event study to calculate both the expected and also the abnormal return in order to answer our research issue. The results given from this study show significant abnormal returns when insiders trade with shares in their own company. / Aktier medför ett placeringsalternativ med en viss risk och ger investerare möjligheten att generera en avkastning på sin portfölj. Personer som anses ha tillgång till förtrolig samt kurspåverkande information inom ett företag betecknas som insynspersoner. Tidigare forskning visar att insynspersoner kan utnyttja detta informationsövertag i sin egen vinning för att tillgodogöra sig överavkastning. Syftet med denna studie är att granska huruvida insynspersoner kan generera en viss överavkastning gentemot andra aktörer på marknaden. I denna forskning har en kvantitativ metod tillämpats med en deduktiv ansats. Via Finansinspektionens insynslista kan vi detektera transaktioner genomförda av insiders för att sedan, med användandet av en eventstudie, besvara forskningsfrågan, om insynspersoner kan generera en överavkastning. Hypotesprövningar ligger sedan till grund för att bedöma huruvida resultatet påvisar signifikans. Utifrån denna studie kan vi dra slutsatsen om att nollhypotesen bör förkastas, således menar vi att det förekommer en signifikant överavkastning i samband med att insynspersoner bedriver handel på värdepappersmarknaden.

Duties of so-called quoted joint stock companies Thesis author: Mgr. Marek Novotný Thesis supervisor: prof. JUDr. Stanislava Černá, CSc. This thesis is concerned with the regulation of duties of quoted joint stock companies (especially the duty of information) and its various institutes. The purpose of this thesis is to describe the legislation in this area of law and its development, with emphasis on the transposition of European legislation, and subject them to critical evaluation. In the first chapter the theoretical framework is defined by describing key legal concepts (the term "quoted joint stock company", "regulated markets") and the development of the most important legal regulation in this area - Act No. 256/2004 Coll., on Business Activities on the Capital Market. The second chapter is devoted to regulated markets and subject information duty. The third chapter deals with the admission of a security to trading on a regulated market and associated initial information duty of joint stock company, which is willing to become quoted. I describe mainly the prospectus and its essential elements. In the fourth chapter I analyze in detail the different types of regular (periodic) information duties, which are the annual report, semi-annual report and interim report. The following fifth chapter is...

Made available in DSpace on 2016-04-26T20:20:53Z (GMT). No. of bitstreams: 1 Melina Marques Mendes Santana.pdf: 953155 bytes, checksum: 9ec7f895d4848d3ba880f4a4eb067e0d (MD5) Previous issue date: 2012-05-16 / This work aims at assessing the criminal treatment of the insider trading activities on the capital markets. It begins by assessing the most relevant aspects of capital markets and their impact for the economy. Subsequently, it studies the value of the information and the way it should be dealt with by current and potential market participants and any other stakeholder. Following the information collection phase, the differences between white collar crimes and conventional crimes are scrutinized. Then, the work is performed by verifyingand describing how the insider trading has been defined as a crime in the Brazilian legal system and by pointing out the pros and cons of the current legislation. There is also a brief analysis of the international legislation linked to the subject. Ultimately, this work intends to contribute to the elucidation of the insider trading subject and to the unequivocal elimination of that practice / Este trabalho consiste em uma pesquisa acerca do tratamento penal dispensado ao uso indevido de informação privilegiada no mercado de capitais insider trading. Inicia-se com a abordagem dos aspectos mais relevantes do mercado de capitais e de seu impacto na economia. Na sequência, é estudado o valor da informação no mercado de capitais e a forma pela qual deve ser acessada pelos investidores atuais ou potenciais , além dos demais players do mercado. Reunido este arcabouço de informações, passa-se a analisar o tema do Direito Penal Econômico, com as suas especificidades em relação à criminalidade tradicional para, então, verificar a forma pela qual a prática do insider trading foi criminalizada no ordenamento jurídico brasileiro, apontando-se os erros e acertos do legislador. Por fim, é feita uma breve análise da legislação estrangeira correlata ao tema. Com isso, pretende-se contribuir para a elucidação do tema e para o repúdio efetivo a tal prática

This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion. New results obtained by the author are presented in five articles. These are divided into two parts. The first part involves three articles on statistical inference and simulation of a family of processes related to fractional Brownian motion and Ornstein-Uhlenbeck process, the so-called fractional Ornstein-Uhlenbeck process of the second kind (fOU2). In two of the articles, we show how to simulate fOU2 by means of circulant embedding method and memoryless transformations. In the other one, we construct a least squares consistent estimator of the drift parameter and prove the central limit theorem using techniques from Stochastic Calculus for Gaussian processes and Malliavin Calculus. The second phase of my research consists of two articles about jump market models and arbitrage portfolio strategies for an insider trader. One of the articles describes two arbitrage free markets according to their risk neutral valuation formula and an arbitrage strategy by switching the markets. The key aspect is the difference in volatility between the markets. Statistical evidence of this situation is shown from a sequential data set. In the other one, we analyze the arbitrage strategies of an strong insider in a pure jump Markov chain financial market by means of a likelihood process. This is constructed in an enlarged filtration using Itô calculus and general theory of stochastic processes. / Föreliggande doktorsavhandling strävar efter att utöka sannolikhetsbaserade och statistiska modeller med stokastiska differentialekvationer. De beskrivna modellerna fångar väsentliga egenskaper i data som inte förklaras av klassiska diffusionsmodeller för brownsk rörelse.  Nya resultat, som författaren har härlett, presenteras i fem uppsatser. De är ordnade i två delar. Del 1 innehåller tre uppsatser om statistisk inferens och simulering av en familj av stokastiska processer som är relaterade till fraktionell brownsk rörelse och Ornstein-Uhlenbeckprocessen, så kallade andra ordningens fraktionella Ornstein-Uhlenbeckprocesser (fOU2). I två av uppsatserna visar vi hur vi kan simulera fOU2-processer med hjälp av cyklisk inbäddning och minneslös transformering. I den tredje uppsatsen konstruerar vi en minsta-kvadratestimator som ger konsistent skattning av driftparametern och bevisar centrala gränsvärdessatsen med tekniker från statistisk analys för gaussiska processer och malliavinsk analys.  Del 2 av min forskning består av två uppsatser om marknadsmodeller med plötsliga hopp och portföljstrategier med arbitrage för en insiderhandlare. En av uppsatserna beskriver två arbitragefria marknader med riskneutrala värderingsformeln och en arbitragestrategi som består i växla mellan marknaderna. Den väsentliga komponenten är skillnaden mellan marknadernas volatilitet. Statistisk evidens i den här situationen visas utifrån ett sekventiellt datamaterial. I den andra uppsatsen analyserar vi arbitragestrategier hos en insiderhandlare i en finansiell marknad som förändrar sig enligt en Markovkedja där alla förändringar i tillstånd består av plötsliga hopp. Det gör vi med en likelihoodprocess. Vi konstruerar detta med utökad filtrering med hjälp av Itôanalys och allmän teori för stokastiska processer. / <p>At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 4: Manuscript. Paper 5: Manuscript.</p>

Made available in DSpace on 2016-03-15T19:33:53Z (GMT). No. of bitstreams: 1 Alexandre Manoel Goncalves.pdf: 1317030 bytes, checksum: 5b611f48911913eb10863f83d5bfb44b (MD5) Previous issue date: 2012-08-09 / Capital Market is comprised of the most important companies in activity in a given country. It is a means to obtain resources to finance productive activity in the long term, being consistent with the size of the business and its economic capacity. Also, Capital Market is widely used for savings both through funds or direct investments. The Federal Constitution ensures economic order based upon free enterprise. However, regardless of the business sector, that cannot be considered as unlimited freedom in terms of economic activity, exempt of monitoring or accountability. Therefore, over the past two decades the Movable Assets Commission has become a steady and accurate institution establishing administrative rules, conducting assessments in case of suspicion of irregularities, in addition to establishing penalties. On the other hand, Bovespa Market Supervision is taking over self-regulation among traders and brokers. Nonetheless, in some cases administrative supervision alone is insufficient to prevent irregular practices or punish those responsible. For specific cases, measures such as suspension of the exercise of professional activity and fines have proven ineffective to discourage the unlawful conduct of certain persons. Under such circumstances, criminal law becomes the State s last resort to regulate the matter. Law 6.485/76, with wording amended by Law 10.303/01, typifies the crimes of market manipulation, misuse of insider information and irregular exercise of office, profession, activity or function in the capital market. It is society s role to reflect and define what conducts shall be regarded as crimes. / O Mercado de Capitais representa a reunião das mais relevantes empresas em atividades de determinado país. Trata-se de um meio para a obtenção de recursos de modo a financiar a atividade produtiva, em longo prazo, de forma compatível com o porte do negócio e sua capacidade econômica. Noutro aspecto, serve como destino para a poupança popular, quer por meio de fundos, ou investimentos diretos. A Constituição Federal assegura a ordem econômica fundada na livre iniciativa. Não significa, entretanto, liberdade absoluta da atividade econômica e isso vale para qualquer setor empresarial sem que exista alguma espécie de acompanhamento ou responsabilidade. No caso do mercado de capitais, a Comissão de Valores Mobiliários se firmou, ao longo das duas últimas décadas, como instituição serena e precisa, para estabelecer normas administrativas, realizar apurações quanto à suspeita de irregularidades e até estabelecer sanções. A Bovespa Supervisão de Mercados, por sua vez, começa a ocupar o espaço de autorregulação entre os operadores e corretoras. Há casos, contudo, em que a tutela administrativa é insuficiente para, isoladamente, evitar práticas irregulares ou punir os responsáveis. Suspensão do exercício da atividade profissional e multa, em determinados casos, mostram-se fracos a desestimular a conduta ilícita de determinadas pessoas. Normas penais, por vezes, representam o último recurso do Estado para disciplinar o assunto. A Lei 6.485/76, com a redação alterada pela Lei 10.303/01, tipifica os crimes de manipulação de mercado, uso indevido de informação privilegiada e o exercício irregular de cargo, profissão, atividade ou função no mercado de capitais. A sociedade deve refletir e definir quais as condutas que deseja ver previstas como crime.