Pub Date : 2026-04-01Epub Date: 2026-02-05DOI: 10.1016/j.jbankfin.2026.107651
Fernando Chague , Bruno Giovannetti , Guilherme Paiva
We document the existence of familiarity bias in day-trading, a popular trading activity among individuals that lasts hours at most. Living in a small city with a firm’s local store more than doubles the likelihood of an individual picking its stock to day-trade. The belief of superior information, a common explanation for the well-known familiarity bias in portfolio holdings, is unlikely to explain the familiarity bias in day trade that we unveil: a single local retail store in a small city could give useful information for day-trading only in truly abnormal events. Our finding suggests a simple mechanism under the familiarity bias: top-of-mind dominance.
{"title":"Familiarity breeds day trade","authors":"Fernando Chague , Bruno Giovannetti , Guilherme Paiva","doi":"10.1016/j.jbankfin.2026.107651","DOIUrl":"10.1016/j.jbankfin.2026.107651","url":null,"abstract":"<div><div>We document the existence of familiarity bias in day-trading, a popular trading activity among individuals that lasts hours at most. Living in a small city with a firm’s local store more than doubles the likelihood of an individual picking its stock to day-trade. The belief of superior information, a common explanation for the well-known familiarity bias in portfolio holdings, is unlikely to explain the familiarity bias in day trade that we unveil: a single local retail store in a small city could give useful information for day-trading only in truly abnormal events. Our finding suggests a simple mechanism under the familiarity bias: top-of-mind dominance.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107651"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190458","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-02-03DOI: 10.1016/j.jbankfin.2026.107656
Michel van der Wel , Yaoyuan Zhang
Using a large cross-section of 22 countries, we analyze whether macro risks are spanned by the yield curve. Our tests show that macro information, both first and second moments, provides additional explanatory power for bond excess returns beyond yield factors, contrary to the spanned model implications. However, when considering in-sample fit and term premium predictions, distinguishing between spanned and unspanned term structure models makes no difference. These findings are robust across the cross-section of countries. We find the strongest out-of-sample predictive power for second moments of macro information for long-term emerging market bonds.
{"title":"Global evidence on unspanned macro risks in dynamic term structure models","authors":"Michel van der Wel , Yaoyuan Zhang","doi":"10.1016/j.jbankfin.2026.107656","DOIUrl":"10.1016/j.jbankfin.2026.107656","url":null,"abstract":"<div><div>Using a large cross-section of 22 countries, we analyze whether macro risks are spanned by the yield curve. Our tests show that macro information, both first and second moments, provides additional explanatory power for bond excess returns beyond yield factors, contrary to the spanned model implications. However, when considering in-sample fit and term premium predictions, distinguishing between spanned and unspanned term structure models makes no difference. These findings are robust across the cross-section of countries. We find the strongest out-of-sample predictive power for second moments of macro information for long-term emerging market bonds.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107656"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-01-21DOI: 10.1016/j.jbankfin.2025.107621
Xin Liu, Tianyao (Terry) Zhang, Yaodong Zhang
By decomposing close-to-close mid-quote returns of ETFs into their overnight and intraday components, we find that the overnight return is significantly positive, whereas the intraday return is negative. This overnight–intraday return differential is ubiquitous across ETFs tracking different asset classes or assets located in different time zones. This phenomenon cannot be explained by differences in overnight and intraday risks, macroeconomic announcements, or information asymmetry. Instead, our analysis reveals that the return pattern is primarily driven by demand shocks from retail investors and limited supply from arbitrageurs. These results indicate that the convenience of buying ETFs during intraday trading hours carries a hidden cost to investors.
{"title":"A hidden cost of ETF investing: Retail demand shocks and limits to arbitrage","authors":"Xin Liu, Tianyao (Terry) Zhang, Yaodong Zhang","doi":"10.1016/j.jbankfin.2025.107621","DOIUrl":"10.1016/j.jbankfin.2025.107621","url":null,"abstract":"<div><div>By decomposing close-to-close mid-quote returns of ETFs into their overnight and intraday components, we find that the overnight return is significantly positive, whereas the intraday return is negative. This overnight–intraday return differential is ubiquitous across ETFs tracking different asset classes or assets located in different time zones. This phenomenon cannot be explained by differences in overnight and intraday risks, macroeconomic announcements, or information asymmetry. Instead, our analysis reveals that the return pattern is primarily driven by demand shocks from retail investors and limited supply from arbitrageurs. These results indicate that the convenience of buying ETFs during intraday trading hours carries a hidden cost to investors.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107621"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146090206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2025-12-25DOI: 10.1016/j.jbankfin.2025.107612
Da-Hea Kim
We study the relation between options trading volume and stock price volatility, providing causal evidence that options trading stabilizes underlying stock prices. Exploiting the implementation of the Penny Pilot Program as an exogenous shock to options trading, we find that increased options trading reduces stock price volatility. We identify two mechanisms driving the volatility-reducing effect of options trading: (1) providing a buffer for liquidity shocks to stocks, which mitigates extreme price movements, and (2) correcting mispricing, thereby anchoring stock prices closer to their intrinsic values. Our findings support the beneficial role of options trading in enhancing price stability and efficiency.
{"title":"Does options trading stabilize stock prices? : Evidence from a natural experiment","authors":"Da-Hea Kim","doi":"10.1016/j.jbankfin.2025.107612","DOIUrl":"10.1016/j.jbankfin.2025.107612","url":null,"abstract":"<div><div>We study the relation between options trading volume and stock price volatility, providing causal evidence that options trading stabilizes underlying stock prices. Exploiting the implementation of the Penny Pilot Program as an exogenous shock to options trading, we find that increased options trading reduces stock price volatility. We identify two mechanisms driving the volatility-reducing effect of options trading: (1) providing a buffer for liquidity shocks to stocks, which mitigates extreme price movements, and (2) correcting mispricing, thereby anchoring stock prices closer to their intrinsic values. Our findings support the beneficial role of options trading in enhancing price stability and efficiency.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107612"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146015805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-01-30DOI: 10.1016/j.jbankfin.2026.107655
Donghui Li , Jian Sun , Rui Xu , Chun Yuan , Liyi Zhu
Based on a proprietary loan dataset from a nationwide state-owned Chinese commercial bank, this study finds that firms with high air pollutant emissions intensity are charged higher bank loan prices due to increased labor risk and environmental transition costs, which elevate bank lender’s overall risk exposure. The positive impact of such emissions on bank loan pricing is more pronounced in firms with no political connections, those located in regions with weak environmental governance, and classified as non-headquarter clients. Further analyses suggest that air pollution premiums are mainly charged for smoke emissions and credit loans. Moreover, air pollutant emissions significantly reduce the credit availability of borrowing firms and increase the tendency for bank lender to add non-price terms.
{"title":"Air pollution and bank loan pricing","authors":"Donghui Li , Jian Sun , Rui Xu , Chun Yuan , Liyi Zhu","doi":"10.1016/j.jbankfin.2026.107655","DOIUrl":"10.1016/j.jbankfin.2026.107655","url":null,"abstract":"<div><div>Based on a proprietary loan dataset from a nationwide state-owned Chinese commercial bank, this study finds that firms with high air pollutant emissions intensity are charged higher bank loan prices due to increased labor risk and environmental transition costs, which elevate bank lender’s overall risk exposure. The positive impact of such emissions on bank loan pricing is more pronounced in firms with no political connections, those located in regions with weak environmental governance, and classified as non-headquarter clients. Further analyses suggest that air pollution premiums are mainly charged for smoke emissions and credit loans. Moreover, air pollutant emissions significantly reduce the credit availability of borrowing firms and increase the tendency for bank lender to add non-price terms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107655"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190461","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-01-31DOI: 10.1016/j.jbankfin.2026.107652
Lorenzo Dal Maso , Xiaoran Jia , Kiridaran Kanagaretnam
We investigate the relationship between climate beliefs and attitudes (CBA) and bank risk management. We find that county-level CBA is positively associated with bank loan loss reserves (ALL) and provisions (LLP), suggesting that banks set aside higher reserves to cushion potential losses when managers believe in climate change. Further analyses using multiple approaches indicate that CBA has incremental explanatory power over climate risk in influencing ALL and LLP—this is an important insight since prior banking literature has mainly focused on climate risk. Our results are robust to various checks, and we show that CBA is negatively related to bank loan portfolio risk and overall bank risk-taking. In consequence tests, we document that CBA attenuates the positive relationship between climate risk and bank risk. Our study suggests that CBA is a behavioral impetus for bank managers to be more prudent in managing climate risk exposures via conservative loan loss accounting.
{"title":"Climate beliefs, attitudes, and bank risk management","authors":"Lorenzo Dal Maso , Xiaoran Jia , Kiridaran Kanagaretnam","doi":"10.1016/j.jbankfin.2026.107652","DOIUrl":"10.1016/j.jbankfin.2026.107652","url":null,"abstract":"<div><div>We investigate the relationship between climate beliefs and attitudes (CBA) and bank risk management. We find that county-level CBA is positively associated with bank loan loss reserves (ALL) and provisions (LLP), suggesting that banks set aside higher reserves to cushion potential losses when managers believe in climate change. Further analyses using multiple approaches indicate that CBA has incremental explanatory power over climate risk in influencing ALL and LLP—this is an important insight since prior banking literature has mainly focused on climate risk. Our results are robust to various checks, and we show that CBA is negatively related to bank loan portfolio risk and overall bank risk-taking. In consequence tests, we document that CBA attenuates the positive relationship between climate risk and bank risk. Our study suggests that CBA is a behavioral impetus for bank managers to be more prudent in managing climate risk exposures via conservative loan loss accounting.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107652"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190462","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-01-22DOI: 10.1016/j.jbankfin.2026.107635
Akihiko Ikeda , Hiroshi Osano
This paper examines the equilibrium implications of fund investors’ information capacity investments in mitigating agency problems under delegated asset management by improving the precision of information signals acquired by fund managers. Using comparative static analysis, we investigate how agency conflicts, the interaction between information capacity investment and information acquisition effort—whether substitutes or complements—and the growing institutionalization of asset management affect three key outcomes: information capacity investment; the likelihood of a market freeze, where a high-quality asset fails to circulate fully in the market; and the structure of performance-based pay for fund managers.
{"title":"Information capacity investment and financial stability under delegated asset management","authors":"Akihiko Ikeda , Hiroshi Osano","doi":"10.1016/j.jbankfin.2026.107635","DOIUrl":"10.1016/j.jbankfin.2026.107635","url":null,"abstract":"<div><div>This paper examines the equilibrium implications of fund investors’ information capacity investments in mitigating agency problems under delegated asset management by improving the precision of information signals acquired by fund managers. Using comparative static analysis, we investigate how agency conflicts, the interaction between information capacity investment and information acquisition effort—whether substitutes or complements—and the growing institutionalization of asset management affect three key outcomes: information capacity investment; the likelihood of a market freeze, where a high-quality asset fails to circulate fully in the market; and the structure of performance-based pay for fund managers.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107635"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146090220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-01-08DOI: 10.1016/j.jbankfin.2026.107634
Sudheer Chava , Polina Efremenko , Carolina Salva
We document a smaller expansion of the negative CDS-bond basis and lower selling pressure during the Covid crisis for bonds issued by firms with high environmental and social (E&S) scores, relative to bonds from low E&S firms. This pattern is consistent with lower investor outflows from sustainability focused funds rather than fund managers discriminating among which bonds to sell. Our results suggest that the relative performance of high and low E&S bonds during a crisis is influenced not only by shifts in firm fundamentals, but also by non-fundamental factors such as investor preferences and trading behaviour.
{"title":"ESG and bond market resilience: Evidence from the Covid crisis","authors":"Sudheer Chava , Polina Efremenko , Carolina Salva","doi":"10.1016/j.jbankfin.2026.107634","DOIUrl":"10.1016/j.jbankfin.2026.107634","url":null,"abstract":"<div><div>We document a smaller expansion of the negative CDS-bond basis and lower selling pressure during the Covid crisis for bonds issued by firms with high environmental and social (E&S) scores, relative to bonds from low E&S firms. This pattern is consistent with lower investor outflows from sustainability focused funds rather than fund managers discriminating among which bonds to sell. Our results suggest that the relative performance of high and low E&S bonds during a crisis is influenced not only by shifts in firm fundamentals, but also by non-fundamental factors such as investor preferences and trading behaviour.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107634"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190456","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-01-27DOI: 10.1016/j.jbankfin.2026.107642
Francesco Grazioli , Annalisa Prencipe
Primary dealers are sophisticated investors appointed by sovereign issuers to buy, promote, and distribute sovereign debt. They develop a deep knowledge of sovereign debt markets. This study examines domestic primary dealers’ sovereign debt classification, which is presumed to reflect their superior information sets on expected sovereign yields. We hypothesize that when this classification is disclosed in financial statements, peer banks adjust their asset allocation accordingly. We first document the predictive ability of domestic primary dealers’ sovereign debt classification for future sovereign yields. Next, using a sample of 6,437 bank-year observations over the 2012–2019 period and after controlling for publicly available information and other determinants of banks’ asset allocation decisions, we show that peer banks divest financial instruments and increase loans when domestic primary dealers disclose more sovereign debt at amortised cost. These effects are more pronounced among peer banks facing greater informational disadvantages.
{"title":"Domestic primary dealers’ disclosure and peer banks’ asset allocation decisions: Evidence from sovereign debt classification","authors":"Francesco Grazioli , Annalisa Prencipe","doi":"10.1016/j.jbankfin.2026.107642","DOIUrl":"10.1016/j.jbankfin.2026.107642","url":null,"abstract":"<div><div>Primary dealers are sophisticated investors appointed by sovereign issuers to buy, promote, and distribute sovereign debt. They develop a deep knowledge of sovereign debt markets. This study examines domestic primary dealers’ sovereign debt classification, which is presumed to reflect their superior information sets on expected sovereign yields. We hypothesize that when this classification is disclosed in financial statements, peer banks adjust their asset allocation accordingly. We first document the predictive ability of domestic primary dealers’ sovereign debt classification for future sovereign yields. Next, using a sample of 6,437 bank-year observations over the 2012–2019 period and after controlling for publicly available information and other determinants of banks’ asset allocation decisions, we show that peer banks divest financial instruments and increase loans when domestic primary dealers disclose more sovereign debt at amortised cost. These effects are more pronounced among peer banks facing greater informational disadvantages.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107642"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-04-01Epub Date: 2026-01-26DOI: 10.1016/j.jbankfin.2026.107641
Carol Osler , Alasdair Turnbull
This paper provides a model of rational OTC dealers trading at a fix. It predicts four forms of misconduct that have been documented for fixes in FX, silver, and gold: front-running, a type of predatory trading; banging-the-close, a type of trade-based manipulation; information sharing; and collusion. This misconduct generates heretofore puzzling features of fix-price dynamics: high volatility before the fix, partial retracements thereafter, and an accelerating price trend as the fix approaches. Additional support for the model emerges from statistical tests for trend acceleration around FX fixes.
{"title":"Dealer misconduct and price dynamics at the fix","authors":"Carol Osler , Alasdair Turnbull","doi":"10.1016/j.jbankfin.2026.107641","DOIUrl":"10.1016/j.jbankfin.2026.107641","url":null,"abstract":"<div><div>This paper provides a model of rational OTC dealers trading at a fix. It predicts four forms of misconduct that have been documented for fixes in FX, silver, and gold: front-running, a type of predatory trading; banging-the-close, a type of trade-based manipulation; information sharing; and collusion. This misconduct generates heretofore puzzling features of fix-price dynamics: high volatility before the fix, partial retracements thereafter, and an accelerating price trend as the fix approaches. Additional support for the model emerges from statistical tests for trend acceleration around FX fixes.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107641"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190459","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号