THE CONDITIONAL PERFORMANCE OF INSIDER TRADES

This paper estimates the performance of insider trades on the closely held Oslo Stock Exchange (OSE) during a period of lax enforcement of i nsider trading regulations. Our data permit construction of a portfoli o that tracks all movements of insiders in and out of the OSE firms. U sing three alternative performance estimators in a time-varying expect ed return setting, we document zero or negative abnormal performance b y insiders. The results are robust to a variety of trade characteristi cs. Applying the performance measures to mutual funds on the OSE, we a lso document some evidence that the average mutual fund outperforms th e insider portfolio.