Event Study, Monte Carlo Simulation, Aggregate Returns
Abstract
Prior research has suggested that insider trading is present in the Mexican Stock Exchange. Based on this evidence, the media has claimed that insider trading is common practice. The evidence to support this claim is obtained from event-study methodology and aggregate returns. Previous studies, however, have not dealt explicitly with the endemic problem of missing observations. In this paper, I study the implications of insider trading at the corporation-level and over longer horizons. My work uses Monte Carlo simulations in order to deal with the nuissance of missing data. I find statistical evidence of insider trading only in a small number of the corporations under analysis.
