This paper estimates the returns to insiders when they trade their company’s stock. We first construct a rolling "purchase portfolio" that holds all shares purchased by insiders for a six-month period, and an analogous "sale portfolio" that holds all shares sold by insiders for six months. The...

Secondary loan participations, or loan "stripping," is a recent innovation in banking. In a secondary loan participation, or loan sale, a bank makes a loan and then sells the loan, without recourse, to a third party. Bank loans hitherto were nonmarketable securities which could only be removed...

Secondary loan participations, or loan sales, are a recent innovation in banking. In a secondary loan participation, or loan sale, a bank makes a loan and then sells the cash stream from the loan without explicit contractual recourse, guarantee, insurance, or other credit enhancement, to a third...

We model the demand for transactions services and liquidity in an economy with asymmetrically informed agents. It is shown that informed agents can systematically take advantage of agents who are relatively uninformed but who have unexpected needs to trade. This causes certain financial...

There has been a long-running debate whether stock market prices are determined by fundamentals. To date no consensus has been reached. An important issue in this debate concerns the circumstances in which deviations from fundamentals are consistent with rational behavior. A continuous-time...