Lessons from times of crisis: Anticipation, risk taking and portfolio management
This thesis consists of three essays. In the first essay, we analyze bank insiders' trading in the securities of their own bank in the run-up to the 2007-08 financial crisis. We show that on average ex-ante bank insiders' net sell of shares implies worse performance in the crisis. Our resu...
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| Tipo de recurso: | tesis doctoral |
| Estado: | Versión publicada |
| Fecha de publicación: | 2013 |
| País: | España |
| Institución: | CBUC, CESCA |
| Repositorio: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/119366 |
| Acceso en línea: | http://hdl.handle.net/10803/119366 |
| Access Level: | acceso abierto |
| Palabra clave: | Insider trading Agency problems Contrarian beliefs Excessive risk-taking Bank incentives Financial crises Real estate bubble Credit supply Lending standards Abuso de información privilegiada Problemas de agencia Creencias contrarias Toma de riesgos excesivos en la banca Incentivos bancarios Crisis financieras Burbuja inmobiliaria Oferta de crédito Normas de préstamo 33 |
| Sumario: | This thesis consists of three essays. In the first essay, we analyze bank insiders' trading in the securities of their own bank in the run-up to the 2007-08 financial crisis. We show that on average ex-ante bank insiders' net sell of shares implies worse performance in the crisis. Our result points out that the bankers, at least to some extent, were aware of the risks they were taking. In the second essay, I analyze the bank insiders' trading in their own portfolio during the crisis and find that insiders trade in a contrarian manner. In the third essay, we analyze the cycle in lending conditions and standards using a unique dataset on mortgage loans in Spain and find that lending standards are softer in the boom than in the bust. Also, we analyze the mechanism by which banks could increase the supply of mortgage loans despite of regulatory restrictions. Our evidence is consistent with banks encouraging appraisers to introduce an upward bias in appraisal prices, to meet LTV regulatory thresholds. |
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