Securitization and insider trading
Ryan, Stephen G.
Securitization and insider trading / Stephen G. Ryan, Jennifer Wu Tucker & Ying Zhou . -- Páginas 649 a la 675
Reseña : Securitizations are complex and opaque transactions. We hypothesize that bank insiders trade on private information about banks': (1) securitization-related recourse risks, (2) not-yet-reported current-quarter securitization income, and (3) securitization-based business model sustainability. We provide evidence that proxies for each of these types of insider information are positively associated with insider trading. Specifically, we find that net insider sales in the 2001Q2–2007Q2 pre-financial crisis quarters predict not-yet-reported non-performing securitized loans and securitization income for those quarters, and that net insider sales during 2006Q4 predict write-downs of securitization-related assets during the 2007Q3–2008Q4 crisis period. We find that net insider sales are more negatively associated with banks' subsequent stock returns in their securitization quarters than in other quarters. In supplemental analysis, we show that the above findings are driven by trades by banks' CEOs and CFOs, and that insiders avoid larger stock price losses through 10b5-1 plan sales than through non-plan sales..
Contabilidad--Publicaciones seriadas
Mercado de valores--Publicaciones seriadas
Fraude de valores--Publicaciones seriadas
Titulización--Publicaciones seriadas
Tucker, Jennifer Wu ; Zhou, Ying ;
Securitization and insider trading / Stephen G. Ryan, Jennifer Wu Tucker & Ying Zhou . -- Páginas 649 a la 675
Reseña : Securitizations are complex and opaque transactions. We hypothesize that bank insiders trade on private information about banks': (1) securitization-related recourse risks, (2) not-yet-reported current-quarter securitization income, and (3) securitization-based business model sustainability. We provide evidence that proxies for each of these types of insider information are positively associated with insider trading. Specifically, we find that net insider sales in the 2001Q2–2007Q2 pre-financial crisis quarters predict not-yet-reported non-performing securitized loans and securitization income for those quarters, and that net insider sales during 2006Q4 predict write-downs of securitization-related assets during the 2007Q3–2008Q4 crisis period. We find that net insider sales are more negatively associated with banks' subsequent stock returns in their securitization quarters than in other quarters. In supplemental analysis, we show that the above findings are driven by trades by banks' CEOs and CFOs, and that insiders avoid larger stock price losses through 10b5-1 plan sales than through non-plan sales..
Contabilidad--Publicaciones seriadas
Mercado de valores--Publicaciones seriadas
Fraude de valores--Publicaciones seriadas
Titulización--Publicaciones seriadas
Tucker, Jennifer Wu ; Zhou, Ying ;