Securitization and Insider Trading

• 成果类型: Article
• 署名作者: Ryan, Stephen G.; Tucker, Jennifer Wu; Zhou, Ying
• 署名单位: New York University; State University System of Florida; University of Florida; University of Connecticut
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51230
• 发表日期: 2016
• 页码: 649-675
• 关键词: Information asymmetry; Rule 10b5-1; earnings; STOCK; trades; sales; CRISIS; MARKET

摘要

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 writedowns of securitization-related assets during the 2007Q3-200804 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.