G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11302
DP11302 Anticipating the Financial Crisis: Evidence from Insider Trading in Banks
José-Luis Peydró; Ozlem Akin; José M Marín
发表日期2020-03-18
出版年2020
语种英语
摘要Banking crises are recurrent phenomena, often induced by ex-ante excessive bank risk-taking, which may be due to behavioral reasons (over- optimistic banks neglecting risks) and to agency problems between bank shareholders with debt-holders and taxpayers (banks understand high risk-taking). We test whether US banks’ stock returns in the 2007-08 crisis are related to bank insiders’ sale of their own bank shares in the period prior to 2006:Q2 (the peak and reversal in real estate prices). We find that top-five executives’ ex-ante sales of shares predicts the cross-section of banks returns during the crisis; interestingly, effects are insignificant for independent directors’ and other officers’ sale of shares. Moreover, the top-five executives’ significant impact is stronger for banks with higher ex-ante exposure to the real estate bubble, where an increase of one standard deviation of insider sales is associated with a 13.33 percentage point drop in stock returns during the crisis period. The informational content of bank insider trading before the crisis suggests that insiders understood the risk-taking in their banks, which has important implications for theory, public policy and the understanding of crises.
主题Financial Economics
关键词Financial crises Insider trading Banking Risk-taking Agency problems in firms
URLhttps://cepr.org/publications/dp11302-0
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/543397
推荐引用方式
GB/T 7714
José-Luis Peydró,Ozlem Akin,José M Marín. DP11302 Anticipating the Financial Crisis: Evidence from Insider Trading in Banks. 2020.
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