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Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-29 DOI: 10.1016/j.jbankfin.2024.107343
Yunting Liu , Yandi Zhu
We decompose the idiosyncratic volatility of stock returns into “good” and “bad” volatility components, which are associated with positive and negative returns, respectively. Using firm characteristics, we estimate a cross-sectional model for the expected idiosyncratic good minus bad volatility (EIGMB). The EIGMB outperforms expected idiosyncratic skewness (EISKEW) and standard time-series models in capturing conditional idiosyncratic return asymmetry. EIGMB is negatively and significantly associated with future stock returns, even after controlling for EIKSEW and exposure to systematic-skewness-related factors. Separating the role each specific characteristic plays in driving the predictive power of EIGMB for returns, we find that return on equity and momentum are two important elements of variation in EIGMB.
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引用次数: 0
Forecasting the realized variance in the presence of intraday periodicity 预测存在日内周期性的已实现方差
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-23 DOI: 10.1016/j.jbankfin.2024.107342
Ana Maria H. Dumitru , Rodrigo Hizmeri , Marwan Izzeldin
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted HAR model, HARP, where predictors are constructed from the periodicity-filtered data. We demonstrate empirically (using 30 stocks from various business sectors and the SPY for the period 2000–2020) and via Monte Carlo simulations that the HARP models produce significantly better forecasts across all forecasting horizons. We also show that adjusting for periodicity when estimating the variance risk premium improves return predictability.
本文利用异质自回归模型（HAR）框架研究了日内周期性对预测已实现波动率的影响。我们发现，周期性会扩大已实现波动率的方差，并使跳跃估计器产生偏差。这种综合效应会对预测产生不利影响。为了解决这个问题，我们提出了一个周期性调整的 HAR 模型，即 HARP，其中的预测因子是根据周期性过滤后的数据构建的。我们通过经验（使用 2000-2020 年期间来自不同商业部门的 30 只股票和 SPY）和蒙特卡罗模拟证明，HARP 模型在所有预测期限内都能产生明显更好的预测结果。我们还证明，在估算方差风险溢价时对周期性进行调整可提高收益预测能力。
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引用次数: 0
FinTech vs. Bank: The impact of lending technology on credit market competition 金融科技与银行：借贷技术对信贷市场竞争的影响
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-20 DOI: 10.1016/j.jbankfin.2024.107338
Konstantinos Serfes , Kejia Wu , Panagiotis Avramidis
Does the recent proliferation of technology in lending process have an impact on business loan market competition? Using a theoretical model that assumes heterogeneity in lenders’ screening abilities and borrowers’ investment horizons, we show that FinTech (Traditional) lenders primarily supply unsecured (asset-backed) loans to borrowers with short-term (long-term) projects. The model builds on the interplay between screening ability and collateral requirements to characterize the competition between two ex-ante symmetric lenders. Lenders use screening technology and collateral requirements to mitigate competition and restrict the supply of credit through an endogenous segmentation of the loan market. As information technology improves, the effect on credit supply and equilibrium interest rates becomes more nuanced and depends on the market segment. The results offer a supply-side explanation for the growth of unsecured lending.
最近贷款过程中技术的普及是否对商业贷款市场竞争产生了影响？通过一个假设贷款人筛选能力和借款人投资期限存在异质性的理论模型，我们发现金融科技（传统）贷款人主要向拥有短期（长期）项目的借款人提供无担保（资产抵押）贷款。该模型以筛选能力和抵押要求之间的相互作用为基础，描述了两个事前对称贷款人之间的竞争。贷款人利用筛选技术和抵押品要求来缓解竞争，并通过内生的贷款市场细分来限制信贷供应。随着信息技术的改进，对信贷供应和均衡利率的影响变得更加微妙，并取决于细分市场。研究结果为无担保贷款的增长提供了供应方的解释。
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引用次数: 0
Revenue alignment with the EU taxonomy regulation in developed markets
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-20 DOI: 10.1016/j.jbankfin.2024.107339
Alexander Bassen , Othar Kordsachia , Kerstin Lopatta , Weiqiang Tan
This article provides first evidence on the capital market effects of the EU Taxonomy Regulation (TR). The TR introduced a new classification scheme to identify companies with environmentally sustainable economic activities. The results offer support for a significant estimated TR alignment premium, compatible with the interpretation that investors already apply the TR and allocate capital to TR-aligned companies. This effect strengthens with an increase in investor attention. We also find significant cross-sectional variation in abnormal stock returns surrounding the publication date of the TR conditional on the degree of estimated TR alignment. Traditional ESG ratings cannot explain the TR premium.
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引用次数: 0
Have ratings become more accurate?
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-16 DOI: 10.1016/j.jbankfin.2024.107337
Zvika Afik , Koresh Galil
Prior studies indicate that rating agencies have adopted more stringent rating criteria over time. In this paper, we hypothesize that improvements in rating accuracy can explain some of these observed patterns. We present empirical evidence supporting this hypothesis, demonstrating that enhancements in rating methodologies have resulted in better default prediction. Our analysis also reveals that, over time, ratings have become more closely aligned with accounting fundamentals and a market-based measure of default risk (distance-to-default). These findings provide a fresh perspective on the factors influencing changes in credit rating standards and emphasize the significance of methodological advancements in credit risk assessment. This research introduces the novel argument that enhancing rating accuracy is an economic rationale for long-term rating trends. The findings underscore the continued importance of credit ratings despite criticisms, suggesting that ratings remain a valuable tool for investors.
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引用次数: 0
National culture of secrecy and stock price synchronicity: Cross-country evidence 国家保密文化与股价同步性：跨国证据
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-15 DOI: 10.1016/j.jbankfin.2024.107341
Chrysovalantis Gaganis , George N. Leledakis , Fotios Pasiouras , Emmanouil G. Pyrgiotakis
This study investigates the relationship between the culture of secrecy and stock price comovement using a large sample of firms in 49 countries over the period 1990 to 2019. We find that stock prices in secretive societies comove more than stock prices in less secretive societies. This higher comovement occurs primarily because idiosyncratic volatility is lower. We attribute this finding to cultural biases in secretive societies which deter investors’ information-seeking behavior. To support these conjectures, we provide evidence of stronger mean reversals (less informed trading) in these societies. Our results persist when we account for cross-country differences in firms’ liquidity and information asymmetry, and when we control for cash flow uncertainty. Finally, the enforcement of insider trading laws in secretive countries is associated with less privately informed trading and lower idiosyncratic volatility.
本研究利用 1990 年至 2019 年期间 49 个国家的大量公司样本，调查了保密文化与股票价格协整性之间的关系。我们发现，保密社会的股票价格比保密程度较低的社会的股票价格具有更高的协整性。出现这种较高的相关性主要是因为特异波动性较低。我们将这一发现归因于神秘社会的文化偏见，这种偏见阻碍了投资者的信息搜寻行为。为了支持这些猜想，我们提供了这些社会中均值反转更强（知情交易更少）的证据。当我们考虑到企业流动性和信息不对称方面的跨国差异，并控制现金流的不确定性时，我们的结果依然存在。最后，保密国家内幕交易法的实施与较少的私下知情交易和较低的特异性波动有关。
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引用次数: 0
Economic policy uncertainty and corporate bond liquidity 经济政策不确定性与公司债券流动性
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-15 DOI: 10.1016/j.jbankfin.2024.107340
Jeffrey R. Black , Nirmol Das , Diego Leal
We find that elevated economic policy uncertainty (EPU) is associated with reductions in corporate bond dealer inventories and worsening liquidity, suggesting bond dealers react to increased inventory risk by reducing their capital commitments and compensating themselves via increased transaction costs. A one standard deviation increase in EPU is associated with a 2.19% widening in bid-ask spreads, 2.36% increase in Amihud illiquidity, and 3.38% reduction in average inventories. This effect is greater for bonds issued by firms with direct exposure to government policy, and less pronounced in small firms, illiquid bonds, and calmer markets, suggesting that EPU affects bond liquidity more when macroeconomic, but not idiosyncratic, factors are the primary determinant of bond risk.
我们发现，经济政策不确定性（EPU）的上升与公司债券交易商库存的减少和流动性的恶化有关，这表明债券交易商通过减少资本承诺和通过增加交易成本来补偿自己，从而对库存风险的增加做出反应。EPU 增加一个标准差会导致买卖价差扩大 2.19%，Amihud 流动性不足增加 2.36%，平均库存减少 3.38%。对于直接受政府政策影响的公司发行的债券，这种影响更大，而对于小公司、流动性差的债券和较为平静的市场，这种影响则不那么明显，这表明当宏观经济因素而非特质因素是债券风险的主要决定因素时，EPU 对债券流动性的影响更大。
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引用次数: 0
Experimenting with financial professionals 与金融专业人员进行试验
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-14 DOI: 10.1016/j.jbankfin.2024.107329
Christoph Huber , Christian König-Kersting , Matteo M. Marini
As key players in financial markets and the broader industry, financial professionals are increasingly used as experimental research participants. We review over 50 studies comparing financial professionals to laypeople and conduct meta-analyses of 22 eligible studies spanning from 1986 to 2023. Our findings reveal persistent and robust support for financial professionals being more risk-loving, but little evidence of superior forecasting accuracy. Further analyses indicate that larger monetary payments result in greater behavioral differences between financial professionals and laypeople, suggesting an increased susceptibility to incentives among professionals. This systematic review not only synthesizes experimental results, contributing to recent discussions about external validity and generalizability, but also highlights critical methodological considerations when experimenting with financial professionals.
作为金融市场和整个行业的重要参与者，金融专业人士越来越多地被用作实验研究的参与者。我们回顾了 50 多项比较金融专业人士和非专业人士的研究，并对 22 项符合条件的研究进行了元分析，时间跨度从 1986 年到 2023 年。我们的研究结果表明，金融专业人士更偏好风险，但几乎没有证据表明他们的预测准确性更高。进一步的分析表明，较大的货币支付会导致金融专业人士和非专业人士之间更大的行为差异，这表明专业人士更容易受到激励因素的影响。这篇系统性综述不仅综合了实验结果，有助于近期关于外部有效性和可推广性的讨论，而且还强调了在对金融专业人士进行实验时在方法上的关键考虑因素。
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引用次数: 0
Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique ETF是否会增加其相关资产的连动性？转换 ETF 复制技术的证据
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-13 DOI: 10.1016/j.jbankfin.2024.107333
Thomas Marta , Fabrice Riva
We investigate the impact of Exchange-Traded Funds (ETFs) on the comovements of their constituent securities using a novel identification that exploits the switch from synthetic to physical replication of a large French ETF. After the switch, constituent stocks experience greater commonality, in both returns and liquidity. For both the full sample of ETF constituents and the least liquid ETF constituents, a larger part of the variation in individual stock returns or liquidity is explained by market-wide variations. We present evidence that ETF creation and redemption is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.
我们采用一种新颖的识别方法，利用法国大型 ETF 从合成复制到实物复制的转换，研究了交易所交易基金（ETF）对其成份证券一致性的影响。转换后，成分股在收益和流动性方面都有更大的共同性。对于全样本 ETF 成份股和流动性最低的 ETF 成份股而言，个股收益率或流动性的大部分变化都是由整个市场的变化所解释的。我们提出的证据表明，ETF的创设和赎回是相关性的传导机制。此外，我们还表明，这种联动并不显得过度。
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引用次数: 0
Three decades of failed bank acquisitions 三十年来失败的银行收购
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-11-10 DOI: 10.1016/j.jbankfin.2024.107336
Laima Spokeviciute , Hossein Jahanshahloo , Kevin Keasey , Francesco Vallascas
Using more than 30 years of data, we document that the acquisition of failed US commercial banks through FDIC-managed Purchase and Assumption (P&A) transactions leads to long-term improvements in the profitability and loan risk of the combined entity and has no detrimental effects on its capital adequacy. These results are generally stronger for transactions with greater potential for economies of scale and efficiency gains. Furthermore, geographic similarity in the branch network of the acquirer and the target marginally improves the profitability of the combined entity, while a greater business similarity between the merged banks has no effect on deal outcomes. Additional tests show that the presence of regulatory subsidies also improves the profitability of the combined entity. Finally, we find no support for theoretical predictions about the misallocation of failed bank assets in the presence of widespread failures in local markets. Our findings are important for the understanding of the consequences of bank resolution through assisted M&As.
我们利用 30 多年的数据证明，通过联邦存款保险公司管理的购买和承担（P&A）交易收购倒闭的美国商业银行，可长期改善合并后实体的盈利能力和贷款风险，而且对其资本充足率没有不利影响。对于规模经济和增效潜力较大的交易而言，上述结果通常更为显著。此外，并购方与目标方分行网络的地理相似性会略微提高合并后实体的盈利能力，而合并后银行之间更大的业务相似性对交易结果没有影响。其他测试表明，监管补贴的存在也会提高合并后实体的盈利能力。最后，我们发现在当地市场普遍倒闭的情况下，关于倒闭银行资产配置不当的理论预测并不成立。我们的发现对于理解通过协助并购解决银行问题的后果非常重要。
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