Pub Date : 2024-02-01DOI: 10.1016/j.jbankfin.2024.107112
Sidita Hasa, Carolina Salva
{"title":"Cash holdings in pension funds","authors":"Sidita Hasa, Carolina Salva","doi":"10.1016/j.jbankfin.2024.107112","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107112","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"771 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139820478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The disposition effect is a longstanding puzzle in financial economics. This paper demonstrates that it is not intrinsically at odds with rational behavior. In a rational expectations model with asymmetrically informed investors, trading strategies as predicted by the disposition effect can arise as an optimal response to dynamic changes in the information structure. The model generates several novel predictions: the disposition behavior of unsophisticated investors should weaken after events that reduce information asymmetries and should be concentrated in stocks with weak price momentum. The data, trading records of 30,000 clients at a German discount brokerage firm from 1995 to 2000, are consistent with these predictions.
{"title":"Rational Disposition Effects: Theory and Evidence","authors":"Daniel Dornand, Günter Strobl","doi":"10.2139/SSRN.1571534","DOIUrl":"https://doi.org/10.2139/SSRN.1571534","url":null,"abstract":"The disposition effect is a longstanding puzzle in financial economics. This paper demonstrates that it is not intrinsically at odds with rational behavior. In a rational expectations model with asymmetrically informed investors, trading strategies as predicted by the disposition effect can arise as an optimal response to dynamic changes in the information structure. The model generates several novel predictions: the disposition behavior of unsophisticated investors should weaken after events that reduce information asymmetries and should be concentrated in stocks with weak price momentum. The data, trading records of 30,000 clients at a German discount brokerage firm from 1995 to 2000, are consistent with these predictions.","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131834915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-12-01DOI: 10.1016/j.jbankfin.2022.106668
Tong Yang, Xun Zhang
{"title":"FinTech adoption and financial inclusion: Evidence from household consumption in China","authors":"Tong Yang, Xun Zhang","doi":"10.1016/j.jbankfin.2022.106668","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2022.106668","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"119761832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-08-01DOI: 10.1016/j.jbankfin.2022.106655
Yining Shi
{"title":"Financial liberalization and house prices: Evidence from China","authors":"Yining Shi","doi":"10.1016/j.jbankfin.2022.106655","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2022.106655","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"118227758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The book-to-market ratio (B/M), profitability, and asset investment exhibit robust joint predictive power for the equity premium, generating out-of-sample Rs of 7%, 20%, and 29%, respectively, in one-quarter-, one-year-, and two-year-ahead forecasts. Since profitability and investment are positively correlated with each other yet predict future returns in opposite directions, while B/M and profitability are negatively correlated with each other yet predict future returns in the same direction, the variables’ joint predictive power is much higher than the sum of their standalone counterparts. Just as Fama and French (2006, 2015, 2016) and Hou, Xue, and Zhang (2014, 2015, 2017) show that profitable firms who invest conservatively are associated with high future alphas in the cross section, we find that high aggregate profits and low asset growth precede high aggregate stock returns in the time series. We also find that short-term (long-term) asset growth predicts one-year-ahead (two-year-ahead) stock returns— consistent with firms’ investment decisions being more responsive to changes in discount rates that correspond to the investment’s time horizon. To explain this pattern from a behavioral perspective requires two types of sentiment—one that primarily influences short-term investment and another that affects long-term investment only.
{"title":"Profitability, Asset Investment, and Aggregate Stock Returns","authors":"T. Chue, J. Xu","doi":"10.2139/ssrn.3089007","DOIUrl":"https://doi.org/10.2139/ssrn.3089007","url":null,"abstract":"The book-to-market ratio (B/M), profitability, and asset investment exhibit robust joint predictive power for the equity premium, generating out-of-sample Rs of 7%, 20%, and 29%, respectively, in one-quarter-, one-year-, and two-year-ahead forecasts. Since profitability and investment are positively correlated with each other yet predict future returns in opposite directions, while B/M and profitability are negatively correlated with each other yet predict future returns in the same direction, the variables’ joint predictive power is much higher than the sum of their standalone counterparts. Just as Fama and French (2006, 2015, 2016) and Hou, Xue, and Zhang (2014, 2015, 2017) show that profitable firms who invest conservatively are associated with high future alphas in the cross section, we find that high aggregate profits and low asset growth precede high aggregate stock returns in the time series. We also find that short-term (long-term) asset growth predicts one-year-ahead (two-year-ahead) stock returns— consistent with firms’ investment decisions being more responsive to changes in discount rates that correspond to the investment’s time horizon. To explain this pattern from a behavioral perspective requires two types of sentiment—one that primarily influences short-term investment and another that affects long-term investment only.","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"121 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124270992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-05-01DOI: 10.1016/j.jbankfin.2022.106535
Fotios Pasiouras, Anis Samet
{"title":"Social capital and the cost of bank equity: Cross-country evidence","authors":"Fotios Pasiouras, Anis Samet","doi":"10.1016/j.jbankfin.2022.106535","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2022.106535","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"118055117","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-05-01DOI: 10.1016/j.jbankfin.2022.106560
K. Abduraimova
{"title":"Contagion and Tail Risk in Complex Financial Networks","authors":"K. Abduraimova","doi":"10.1016/j.jbankfin.2022.106560","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2022.106560","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117772251","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-05-01DOI: 10.1016/j.jbankfin.2022.106534
Jingfang Zhang, Emir Malikov
{"title":"Off-Balance Sheet Activities and Scope Economies in U.S. Banking","authors":"Jingfang Zhang, Emir Malikov","doi":"10.1016/j.jbankfin.2022.106534","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2022.106534","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"117 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120728262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-04-01DOI: 10.1016/j.jbankfin.2022.106507
Pengfei Luo, Yuan Tian
{"title":"Investment, payout, and cash management under risk and ambiguity","authors":"Pengfei Luo, Yuan Tian","doi":"10.1016/j.jbankfin.2022.106507","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2022.106507","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121459063","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-03-01DOI: 10.1016/j.jbankfin.2022.106478
Allen N. Berger, H. Montague Osteen
{"title":"In memoria Giorgio and Emilia Szego","authors":"Allen N. Berger, H. Montague Osteen","doi":"10.1016/j.jbankfin.2022.106478","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2022.106478","url":null,"abstract":"","PeriodicalId":148341,"journal":{"name":"Journal of Banking & Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127466835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：