Do They Know?: A Study of the Impact of PDMR Transactions on Stock Market Returns During the Uncertain Market Conditions of the Covid-19 Pandemic

Abstract: This paper examines how equities listed on Nasdaq Stockholm reacted to transaction announcements by persons discharging managerial responsibilities ("PDMRs") during unprecedented market uncertainty. We find that PDMRs transaction announcements generated abnormal returns for purchases but not for sales. We then investigate what factors that are explanatory and run analyses across various company sizes. We identify that PDMR transaction announcements carry informational value, and that the magnitude of the informational value was elevated during the Covid-19 pandemic. This paper validates prior studies and opens for further research on regulatory initiatives to level the playing field between regular investors and corporate insiders.