Insider trading e investidores institucionais: implicações para a eficiência informacional no mercado acionário brasileiro

Abstract

This study aimed to analyze the role of insider trading and institutional investors in the informational efficiency of the Brazilian stock market. The study was carried out in two parts, each dealing with the role of one of the agents. The first part analyzes the insider trading determinants and effects on the Brazilian stock market, using the trading information available in Comissão de Valores Imobiliários 358/2002 reports. The sample was limited to 56 companies in the IBrX-100 with available data from December 2016 to June 2018. The results indicate that the insiders negotiate when there is high liquidity, that their negotiations do not affect the stock prices informativeness and do not imply in long-term abnormal returns. The results expose the demand for greater transparency of information about insider trading since only the trading did not indicate evidence in prices movements. The second part analyzes the feasibility of stock trading or the threat of liquidation as a governance mechanism. Proprietary data from the Formulários de Referência (FR) of publicly traded companies in Brazil was used, with a sample of 254 shares from December 2009 to December 2017. The results indicate that the number of institutional investors is not related to stock returns, but that they increase the incorporation of information to the stock prices and that this relation is greater in the "preferential" class of stocks. However, it was not observed that these mechanisms increase the performance of Brazilian firms.