Abstract

Banking crises are recurrent phenomena, often induced by excessive bank risk-taking, which may be due to behavioural reasons (over-optimistic banks neglecting risks) and to conflicts of interest between bank shareholders/managers and debtholders/taxpayers (banks exploiting moral hazard). We test whether US banks’ stock returns in the 2007–8 financial crisis are associated with bank insiders’ sales of their own bank’s shares in the period prior to 2006Q2 (the peak and reversal in real estate prices). We find that top-five executives’ sales of shares predict bank performance during the crisis. Interestingly, effects are insignificant for the sales of independent directors and other officers. Moreover, the top-five executives’ impact is stronger for banks with higher exposure to the real estate bubble, where a one standard deviation increase of insider sales is associated with a 13.33 percentage point drop in stock returns during the crisis period. Finally, even though bankers in riskier banks sold more shares (furthering their own interests), they did not change their bank’s policies, for example, by reducing bank-level exposure to real estate. The informational content of bank insider trading before the crisis suggests that insiders knew that their banks were taking excessive risks, which has important implications for theory, public policy and the understanding of crises, as well as a supervisory tool for early warning signals.

中文翻译：

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预测金融危机：银行内部交易的证据

摘要

银行危机是经常性现象，通常是由于过度的银行冒险行为引起的，这可能是由于行为原因（过于乐观的银行忽略了风险）以及银行股东/经理与债务持有人/纳税人之间的利益冲突（利用道德风险的银行） 。我们测试了在2007-8年金融危机中美国银行的股票回报是否与银行内部人在2006年第二季度之前出售自己的银行股票相关联（房地产价格的峰值和反转）。我们发现，前五名高管的股票销售预测了危机期间的银行业绩。有趣的是，对独立董事和其他高级管理人员的销售影响微不足道。此外，对于房地产泡沫风险较高的银行，前五名高管的影响更大，在危机期间，内部销售的一个标准差增加与股票收益下降13.33个百分点相关。最后，即使风险较高的银行中的银行家出售了更多股票（进一步提高了自己的利益），他们也没有改变银行的政策，例如通过减少银行对房地产的敞口。危机前银行内部人交易的信息内容表明，内部人知道他们的银行正承受着过多的风险，这对理论，公共政策和对危机的理解以及预警信号的监督工具都具有重要意义。他们没有改变银行的政策，例如通过减少银行对房地产的敞口。危机前银行内部人交易的信息内容表明，内部人知道他们的银行正承受着过多的风险，这对理论，公共政策和对危机的理解以及预警信号的监督工具都具有重要意义。他们没有改变银行的政策，例如通过减少银行对房地产的敞口。危机前银行内部人交易的信息内容表明，内部人知道他们的银行正承受着过多的风险，这对理论，公共政策和对危机的理解以及预警信号的监督工具都具有重要意义。