Journal of Banking & Finance最新文献

英文中文

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。

引用次数: 0

Factor momentum versus price momentum: Insights from international markets 因素动量与价格动量：国际市场的启示

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-07 DOI: 10.1016/j.jbankfin.2024.107332

Nusret Cakici , Christian Fieberg , Daniel Metko , Adam Zaremba

Does factor momentum drive stock price momentum? We examine this relationship across 51 countries. Factor momentum proves strong across many markets and international portfolios, independent of typical return predictability drivers. However, its ability to capture stock momentum profits depends on methodological and dataset choices. Empirical factor momentum cannot entirely subsume stock or industry momentum globally. Conversely, price momentum often better explains its factor counterpart than vice versa. Notably, factor momentum based on principal components is more robust, capturing a major share of price momentum gains in developed and emerging markets. Our findings challenge the view that momentum merely times other factors rather than constituting a distinct anomaly.

要素动量会推动股价动量吗？我们研究了 51 个国家的这种关系。事实证明，因子动量在许多市场和国际投资组合中都很强劲，与典型的回报可预测性驱动因素无关。然而，因子动量捕捉股票动量利润的能力取决于方法和数据集的选择。经验因子动量不能完全涵盖全球股票或行业动量。相反，价格动量往往能更好地解释其对应的因子动量。值得注意的是，基于主成分的因子动量更为稳健，捕捉到了发达市场和新兴市场价格动量涨幅的主要部分。我们的研究结果对动量仅仅是其他因素的乘数，而不是一种独特异常现象的观点提出了质疑。

引用次数: 0

Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence 做市商限价订单补贴能否改善市场结果？准自然实验证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-28 DOI: 10.1016/j.jbankfin.2024.107330

Yiping Lin , Peter L. Swan , Frederick H.de B. Harris

We provide a new theory of exchange access fees that explains why fees relatively reduce the probability of execution and increase the limit order queue length on “maker-taker” platforms. Nonetheless, the limit order subsidy greatly improves market depth, together with market efficiency and trading volume. Moreover, fee structures never “wash out” regardless of the minimum tick. The regulatory requirement that trading and order flow depend only on raw (nominal) spreads and prices underpins the multi-billion-dollar subsidy to limit orders. So long as a platform remains competitive, elimination of the fee structure does not alter the raw spread, but it does lower the cum fee spread. We test these implications with a unilateral maker-taker fee/rebate reduction using NASDAQ's “quasi-natural” $1.9 trillion experiment to find support for our theory.

我们提供了一个关于交易所准入费的新理论，解释了为什么在 "做市商 "平台上，准入费会相对降低执行概率并增加限价订单排队长度。然而，限价订单补贴大大提高了市场深度，同时也提高了市场效率和交易量。此外，无论最低交易价是多少，收费结构都不会 "洗掉"。监管机构要求交易和订单流量仅取决于原始（名义）价差和价格，这是对限价订单提供数十亿美元补贴的基础。只要平台仍有竞争力，取消费用结构不会改变原始价差，但会降低累计费用价差。我们利用纳斯达克 1.9 万亿美元的 "准自然 "实验，通过单边降低做市商费用/回扣来测试这些影响，从而为我们的理论提供支持。

引用次数: 0

Does regulatory and supervisory independence affect financial stability? 监管和监督的独立性会影响金融稳定吗？

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-26 DOI: 10.1016/j.jbankfin.2024.107318

Nicolò Fraccaroli , Rhiannon Sowerbutts , Andrew Whitworth

Since the 2008 financial crisis, regulators and supervisors have been granted increased independence from political bodies. But there is no clear evidence of the benefits of more independence for the stability of the banking sector. In this paper we introduce a new indicator of regulatory and supervisory independence for 98 countries from 1999 to 2019. We combine this index with bank-level data to investigate the relationship between independence and financial stability. We find that greater regulatory and supervisory independence is associated with improved financial stability. We show that these results are robust to alternative measures of financial stability and to a number of tests. Overall, our findings indicate that increasing the independence of regulators and supervisors is beneficial for financial stability.

自 2008 年金融危机以来，监管机构和监督人员越来越独立于政治机构。但是，并没有明确的证据表明提高独立性对银行业的稳定性有好处。在本文中，我们引入了一个新的监管和监督独立性指标，该指标涵盖了从 1999 年到 2019 年的 98 个国家。我们将这一指标与银行层面的数据相结合，研究独立性与金融稳定性之间的关系。我们发现，更大的监管和监督独立性与更好的金融稳定性相关。我们表明，这些结果对其他金融稳定性衡量标准和一系列测试都是稳健的。总体而言，我们的研究结果表明，提高监管机构和监督者的独立性有利于金融稳定。

引用次数: 0

Modeling and pricing credit risk with a focus on recovery risk 信用风险建模和定价，重点是回收风险

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-22 DOI: 10.1016/j.jbankfin.2024.107317

Haibo Liu , Qihe Tang

Consider a defaultable bond traded in a financial market that is subject to shocks and regime shifts. Its recovery payment has a hybrid structure, comprising two components: one contingent on historical information up to the time of default, and the other an independent variable indexed by the regime at the time of default. The default intensity, interest rate, and reference rate are assumed to be general deterministic functions of certain state variables, while these state variables jointly follow a jump-diffusion process, with drift and volatility coefficients governed by the regime and with jumps induced by shocks. We construct a risk-neutral pricing measure that prices all risk sources in an integrated manner. A rigorous verification of this pricing measure reveals the corresponding time-dependent market prices of these risk sources. The resulting pricing framework is applicable to most defaultable bonds and credit derivatives.

考虑一种在金融市场上交易的违约债券，这种债券会受到冲击和制度转变的影响。它的回收付款具有混合结构，由两部分组成：一部分取决于违约发生前的历史信息，另一部分是由违约发生时的制度指数化的独立变量。违约强度、利率和参考利率被假定为某些状态变量的一般确定性函数，而这些状态变量共同遵循一个跳跃-扩散过程，其漂移和波动系数由制度决定，跳跃由冲击引起。我们构建了一种风险中性的定价方法，可以对所有风险源进行综合定价。对这一定价方法的严格验证揭示了这些风险源相应的随时间变化的市场价格。由此产生的定价框架适用于大多数违约债券和信用衍生品。

引用次数: 0

Options trading, managerial risk-taking, and brand development 期权交易、管理风险承担和品牌发展

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-21 DOI: 10.1016/j.jbankfin.2024.107319

Po-Hsuan Hsu , Fengfei Li , Yoshio Nozawa

This study examines how options trading influences brand development strategies by encouraging managerial risk-taking. We find that firms with higher levels of options trading tend to introduce more new trademarks, which exhibit lower citation rates from subsequent trademarks. These firms favor brand creation over extension, leading to increased brand riskiness, as evidenced by greater trademark diversity. Potential channels for these effects include increased institutional ownership by transient investors and enhanced managerial hedging opportunities. These effects are more pronounced in firms with weaker governance, managers with higher pay-risk sensitivity, younger managerial teams, and intense competition. Additionally, we observe a negative relation between unrelated brand diversification, driven by options trading, and firm value. Our findings support the notion that active options markets incentivize managers to pursue riskier brand strategies.

本研究探讨了期权交易如何通过鼓励管理者冒险来影响品牌发展战略。我们发现，期权交易水平较高的公司往往会推出更多新商标，而这些商标在后续商标中的引用率较低。这些公司更倾向于品牌创造而非品牌延伸，从而导致品牌风险性增加，商标多样性增加就是证明。产生这些效应的潜在渠道包括临时投资者的机构所有权增加和管理者对冲机会增加。这些效应在治理较弱、管理者对薪酬风险敏感度较高、管理团队较年轻以及竞争激烈的企业中更为明显。此外，我们还观察到由期权交易驱动的非相关品牌多样化与公司价值之间存在负相关关系。我们的研究结果支持这样一种观点，即活跃的期权市场会激励管理者追求风险更高的品牌战略。

引用次数: 0

The collateral channel versus the bank lending channel: Evidence from a massive earthquake, 抵押品渠道与银行贷款渠道：大地震的证据、

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.jbankfin.2024.107315

Iichiro Uesugi , Daisuke Miyakawa , Kaoru Hosono , Arito Ono , Hirofumi Uchida

This paper compares the economic impact of the collateral and bank lending channels in a unified framework by taking advantage of exogenous shocks to firms’ tangible assets and banks’ net worth caused by the massive Tohoku earthquake in 2011. We obtain the following findings: (1) both damage to a firm's tangible assets and to the net worth of its primary bank lead to an increase in the probability of the firm being credit constrained, which lends support to the existence of both the collateral and the bank lending channel; (2) the increase through the bank lending channel is about twice as large as and longer-lasting than that through the collateral channel; (3) the credit constraint has real effects: in terms of the aggregated sales decline, the impact through the bank lending channel is more than four times as large as that through the collateral channel, because the negative impact of damage to banks’ net worth spilled over to firms located outside the earthquake-damaged region. Overall, the bank lending channel played a far more substantial role than the collateral channel in the wake of the earthquake.

本文利用 2011 年日本东北大地震对企业有形资产和银行净资产造成的外生冲击，在统一框架下比较了抵押品渠道和银行贷款渠道的经济影响。我们得出以下结论：(1) 企业有形资产和主要银行净资产的损失都会导致企业受到信贷约束的概率增加，这证明了抵押品渠道和银行借贷渠道的存在；(2) 银行借贷渠道的增加约为抵押品渠道的两倍，且持续时间更长；(3) 信贷约束具有实际效果：从总销售额的下降来看，银行贷款渠道的影响是抵押品渠道的四倍多，因为银行净资产受损的负面影响波及到地震灾区以外的企业。总体而言，银行贷款渠道在地震后发挥的作用远远大于抵押品渠道。

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引用次数: 0

The treasury auction risk premium 国债拍卖风险溢价

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-10 DOI: 10.1016/j.jbankfin.2024.107316

Patrick Herb

Using a time series asset pricing model, I empirically show that underpricing of U.S. Treasury securities is explained by risk premia that compensate dealers for bearing price risk. This finding suggests that the Treasury could reduce underpricing by reducing the post-auction price risk (volatility) to auction participants, which can be achieved mathematically by reducing the time from auction to settlement. I calculate that underpricing cost the Treasury $46.3 billion from January 2000 through June 2016. I estimate that standardizing the settlement period to 1-day could have saved the Treasury $15.6 billion over the same period. In addition, I use the estimated model to forecast expected risk-adjusted returns (that result from underpricing) for each auction, and find that these forecasts predict Treasury auction demand. This finding suggests that auction demand depends on underpricing, albeit on an expected risk-adjusted basis. Further, this expected underpricing may actually help the Treasury to sell debt and avoid auction failures.

笔者利用时间序列资产定价模型，通过实证研究表明，美国国库券定价偏低的原因是风险溢价补偿了交易商承担的价格风险。这一发现表明，财政部可以通过降低拍卖参与者拍卖后的价格风险（波动性）来减少定价过低的情况，这可以通过缩短从拍卖到结算的时间在数学上实现。根据我的计算，从 2000 年 1 月到 2016 年 6 月，定价不足使财政部损失了 463 亿美元。我估计，如果将结算时间标准化为 1 天，财政部在同一时期可节省 156 亿美元。此外，我还利用估计模型预测了每次拍卖的预期风险调整收益（因定价过低而产生），并发现这些预测可以预测财政部的拍卖需求。这一发现表明，拍卖需求取决于定价不足，尽管是在预期风险调整的基础上。此外，这种预期定价偏低实际上可能有助于财政部出售债务，避免拍卖失败。

引用次数: 0

Vulnerable funding in the global economy 全球经济中的脆弱供资

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-09-29 DOI: 10.1016/j.jbankfin.2024.107314

Helena Chuliá , Ignacio Garrón , Jorge M. Uribe

This study builds on the conceptual framework of vulnerable growth to examine how US financial shocks influence the conditional distribution of real credit growth across a diverse set of countries, a phenomenon we term vulnerable funding. We show that deteriorating US financial conditions are linked to a reduction in real credit growth abroad, with particularly pronounced effects at the lower quantiles of real credit growth abroad. This suggests that, in common with the episodes of vulnerable growth discussed in the extant literature, episodes of vulnerable funding are also triggered globally by financial weakness in the US. However, our analysis reveals significant variation in the impact of US financial shocks across the quantiles of credit growth in countries worldwide. Specifically, countries with lower credit-to-GDP ratios or with higher levels of US investment relative to their GDP exhibit greater real credit growth vulnerability.

本研究以脆弱增长的概念框架为基础，研究美国金融冲击如何影响不同国家实际信贷增长的条件分布，我们称之为脆弱融资现象。我们的研究表明，美国金融状况的恶化与国外实际信贷增长的下降有关，对国外实际信贷增长的较低量化值的影响尤为明显。这表明，与现有文献中讨论的脆弱增长事件一样，脆弱融资事件也是由美国的金融疲软在全球范围内引发的。然而，我们的分析表明，美国金融冲击对世界各国信贷增长量位的影响存在显著差异。具体而言，信贷与国内生产总值比率较低或美国投资相对于国内生产总值水平较高的国家，其实际信贷增长的脆弱性更大。

引用次数: 0

Information spillover and cross-predictability of currency returns: An analysis via Machine Learning 信息溢出和货币回报的交叉可预测性：机器学习分析

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-09-26 DOI: 10.1016/j.jbankfin.2024.107313

Yuecheng Jia , Yuzheng Liu , Yangru Wu , Shu Yan

This paper documents significant cross-return predictability of news variables, derived from textual analysis of news articles, for a broad cross-section of currencies. By employing forecasts based on the Least Absolute Shrinkage and Selection Operator (LASSO) that incorporate both news variables and forward discounts, we develop a notably profitable trading strategy. This strategy proves robust against transaction costs, risk adjustments, and controls for currency characteristics. Further analyses indicate that both risks and market frictions contribute to the profitability of the trading strategy, highlighting the crucial role of news in financial markets.

本文记录了从新闻文章文本分析中得出的新闻变量对多种货币的交叉收益预测能力。通过采用基于最小绝对缩水和选择操作器（LASSO）的预测，并结合新闻变量和远期贴水，我们开发出了一种显著盈利的交易策略。事实证明，该策略在交易成本、风险调整和货币特性控制方面都很稳健。进一步的分析表明，风险和市场摩擦都有助于提高交易策略的盈利能力，凸显了新闻在金融市场中的关键作用。

引用次数: 0

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