Journal of Banking & Finance最新文献

英文中文

The role of CDS spreads in explaining bond recovery rates

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-03-03 DOI: 10.1016/j.jbankfin.2025.107414

Matteo Barbagli , Pascal François , Geneviève Gauthier , Frédéric Vrins

We introduce two novel indices built from CDS market data capturing the level and uncertainty information embedded in credit spreads aggregated by industry, and study their role in predicting bonds recovery rates. Analyzing 613 defaulted U.S. corporate bond issues from 2006 to 2019 and using a beta regression model, we find the cross-sectional mean and approximate entropy of CDS spreads aggregated at the sector level to be important predictors of the recovery rates distributions. In the classical beta regression model, both regressors are statistically significant and enhance the pseudo-R² by up to 4%. Notably, a forward model selection procedure includes the sector-level regressor before well-known variables such as the bonds’ coupon rate or the American default rate. In addition, our sector-uncertainty regressor is the only significant uncertainty variable. These findings offer valuable insights for improving credit risk assessment methodologies and identifying key risk indicators of recovery rates before running prediction models.

我们从 CDS 市场数据中引入了两个新指数，这两个指数捕捉了按行业汇总的信用利差中蕴含的水平和不确定性信息，并研究了它们在预测债券回收率方面的作用。通过分析 2006 年至 2019 年期间违约的 613 期美国企业债券，并使用贝塔回归模型，我们发现在行业层面汇总的 CDS 利差的横截面均值和近似熵是预测回收率分布的重要指标。在经典的贝塔回归模型中，这两个回归因子在统计上都是显著的，并使伪 R2 提高了 4%。值得注意的是，前向模型选择程序在债券票面利率或美国违约率等众所周知的变量之前加入了行业层面的回归因子。此外，我们的行业不确定性回归变量是唯一显著的不确定性变量。这些发现为改进信用风险评估方法和在运行预测模型之前确定回收率的关键风险指标提供了宝贵的启示。

引用次数: 0

Fear propagation and return dynamics

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-22 DOI: 10.1016/j.jbankfin.2025.107410

Yulong Sun , Kai Wang , Zhiping Zhou

This study explores the intertemporal relationship between the gold-to-platinum price ratio (logGP) across economic conditions and international equity risk premiums. We find that logGP provides distinct predictive signals based on economic states, with logGP during U.S. contractions works as a strong and robust predictor of global stock market returns both in-sample and out-of-sample. This predictability stems not from U.S. market spillovers but rather reflects investors’ tail risk concerns and forecasts of economic activity. Our results indicate that U.S. recessions act as wake-up calls for international investors. Concerns about a U.S. recession propagating to other economies prompts investors to reassess local risks, thereby influencing local stock market dynamics.

引用次数: 0

International information flow and market quality

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-22 DOI: 10.1016/j.jbankfin.2025.107420

Jiang Zhang

Does the informational interdependence among countries affect market quality? Guided by the theoretical literature, this paper examines disruptions to international information flow as a source of financial market frictions. Using nonoverlapping holidays as a novel identification method, I find that disruptions to foreign information inflow deteriorate domestic market liquidity and fairness. I show that market quality worsens through both the informational sensitivity and the abnormal trading channels. Additional analyses indicate that stocks with lower liquidity and higher volatility are prone to more manipulative trading during information disruptions. Furthermore, a stock exchange upgrade weakens the abnormal trading channel. These findings suggest that international information flow is important to financial market quality.

引用次数: 0

Dissecting the return-predicting power of risk-neutral variance

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-21 DOI: 10.1016/j.jbankfin.2025.107409

Zhongjin Lu , Chaehyun Pyun

We reassess the predictive power of risk-neutral excess-of-market stock variance (Martin and Wagner, 2019) for stock returns. After correcting two look-ahead biases that influence evidence supporting an average predictive coefficient of 0.5 reported in prior works, we find the data are too noisy to reject the null hypothesis of an average coefficient of zero. However, this insignificant average predictive coefficient conceals the predictability’s strong covariance with market volatility, as well as its large variation across characteristics-sorted subsamples. Out-of-sample analysis confirms that while the MW model does not significantly outperform benchmark models on average, it significantly outperforms during high-volatility periods.

引用次数: 0

Fiduciary duty and corporate social responsibility: Evidence from corporate opportunity waiver

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-20 DOI: 10.1016/j.jbankfin.2025.107417

Naomi Boyd , Shenru Li , He (Helen) Wang , Xianjue Wang

This paper examines whether corporate social responsibility (CSR) aligns with shareholder interests or stems from agency conflicts. To explore this, we utilize the staggered adoption of state-level Corporate Opportunity Waiver (COW) laws, which potentially weaken the fiduciary duty of loyalty among directors and officers, thereby exacerbating agency conflicts. Through a difference-in-differences analysis, we find that CSR activities significantly decrease following the enactment of COW laws. This decline is more pronounced in firms with weaker corporate governance, greater external opportunities for directors and officers, less incentivized CEOs, and those operating in less competitive industries. Additionally, our results show that the positive effect of CSR on financial performance is diminished by the adoption of COW laws. These findings support the value-enhancing perspective of CSR and highlight the importance of fiduciary duty of loyalty in promoting CSR.

引用次数: 0

Carbon management ability and climate risk exposure: An international investigation

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-19 DOI: 10.1016/j.jbankfin.2025.107415

Le Luo , Junru Zhang , Chen Zheng

Using a large international sample of firms, we examine the relation between carbon management ability (CMA) and firm-level climate risk exposure. We find that CMA is negatively associated with climate risk exposure. More importantly, we show that firms with high-CMA managers tend to achieve a reduction in climate risk exposure through enhancing regulatory compliance (evidenced by fewer stakeholder rights violations), reducing environmental, social, and governance-related controversies, investing in research and development, undertaking more investment in environmental initiatives, and cultivating a favorable corporate culture. Cross-sectional analyses indicate that the negative association between CMA and climate risk exposure is stronger for firms in carbon-intensive sectors and firms with a dedicated corporate sustainability committee. Further, we reveal that CMA exerts a greater influence on climate risk exposure in stakeholder-oriented countries and in countries that have signed the Paris Agreement. Finally, we reveal that firms with high-CMA managers tend to have better financial performance. Overall, our findings indicate that CMA plays a crucial role in driving firms towards more sustainable and responsible business practices, leading to better corporate performance and enhanced corporate reputation.

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引用次数: 0

Investor heterogeneity and the market for fund benchmarks: Evidence from passive ETFs

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-18 DOI: 10.1016/j.jbankfin.2025.107412

Leonard Kostovetsky , Jerold Warner

The market for passive ETFs and passive ETF benchmarks has exploded. Passive ETF sponsors get index benchmarks mainly from brand name index providers such as S&P and Russell. We show how benchmark and index provider characteristics are relevant for sponsors and different investor types. ETF benchmarks from large index providers attract more capital. Institutional flows exhibit a strong preference for brand name benchmarks, but do-it-yourself retail investor flows do not. ETFs that change benchmarks reduce their tracking error and have 7% higher flows in the subsequent three months, again driven by institutional flows.

引用次数: 0

Discretion in pay ratio estimation

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-18 DOI: 10.1016/j.jbankfin.2025.107416

Zinat Alam , Chinmoy Ghosh , Harley E. Ryan Jr. , Lingling Wang

We examine how firms estimate CEO-employee pay ratios in response to the CEO pay ratio rule, the first mandated pay inequality disclosure for U.S. firms. Our findings reveal that firms disclose lower pay ratios when they use more complex methods to identify the median employee. The relation between the estimation method and the disclosed pay ratio is stronger for firms headquartered in states with a greater societal aversion to income inequality and is weaker when CEO pay in the prior year is lower. Firms’ estimation choices do not merely represent selection bias or potentially omitted variables such as firm size, industry, compensation design complexity, or workforce composition – including the presence of foreign, temporary, seasonal, or highly paid employees. Although firms that use more complex methods to identify the median employee disclose lower pay ratios, we find no evidence of real changes in pay inequality among these firms. Our results suggest that some firms use estimation discretion to appear to conform to stakeholders’ preferences instead of taking real actions. These practices call into question the informativeness of CEO pay ratio disclosures, highlighting a potential cost of granting discretion in mandatory ESG disclosures.

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引用次数: 0

Rest and financial judgments: The impact of holidays on analyst accuracy

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-13 DOI: 10.1016/j.jbankfin.2025.107399

Sima Jannati

I examine whether holidays affect the forecast accuracy of equity analysts. I find that earnings forecasts issued after holidays are, on average, more accurate than those issued before. Economically, this effect is equivalent to the impact of 73 months of experience on analyst accuracy. Using heuristic behavior as a proxy for improved rest, I find that analysts’ use of heuristics declines after holidays. I examine and rule out greater information availability, increased attention, and changes in sentiment as alternative mechanisms. Overall, the results suggest that short breaks from work meaningfully improve the quality of analysts’ performance.

引用次数: 0

Do activists align with larger mutual funds?

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-02-13 DOI: 10.1016/j.jbankfin.2025.107402

Manish Jha

This study shows that hedge funds tend to design their activist campaigns to match the preferences and ideologies of institutions holding large stakes in the target company. These preferences are estimated by analyzing the institutions’ past proxy voting behavior. The findings show that activists benefit from this approach.

Campaigns that show a stronger positive correlation between the preferences of larger institutions and activist communications attract more shareholder attention, receive more votes, and are more likely to succeed.

引用次数: 0

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