Journal of Banking & Finance最新文献

英文中文

A stochastic model for predicting the response time of green vs brown stocks to climate change news risk 预测绿色和棕色树木对气候变化新闻风险响应时间的随机模型

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-24 DOI: 10.1016/j.jbankfin.2025.107507

Hany Fahmy

We model the dynamic evolution of the attention process over the duration of climate change news events as a Brownian motion with an absorbing barrier, where attention to the news event ceases. In this framework, the duration of the underlying news event is a random variable whose probability distribution is the Inverse Gaussian (IG). We show that the IG distribution of news duration can be used to predict the response time of asset prices to climate news risk. We test the empirical validity of our model by constructing two novel climate news duration data sets: a daily duration and an hour-by-hour intra-news duration. At the daily frequency, our model predicts the response time of green versus brown firms’ stock prices to climate news risk. We demonstrate how this response time can enhance the precision of conventional risk management statistics, e.g., Value at Risk and expected shortfall, and in consequence improves the efficiency of managing firms’ exposures to such risk. At the high frequency, we extend the autoregressive conditional duration (ACD) model and show that, in an IG-ACD-GARCH framework, climate change news arrivals contribute to the volatility of green (but not brown) firms’ returns. This finding is attributed to public and investors’ concerns about climate change or to their belief that climate transition policies are ineffective in combating climate change.

我们将气候变化新闻事件持续期间注意力过程的动态演变建模为具有吸收屏障的布朗运动，在那里对新闻事件的注意力停止。在这个框架中，潜在新闻事件的持续时间是一个随机变量，其概率分布是逆高斯分布（IG）。我们证明了新闻持续时间的IG分布可以用来预测资产价格对气候新闻风险的响应时间。我们通过构建两个新的气候新闻持续时间数据集来检验我们模型的经验有效性：每日持续时间和每小时的新闻持续时间。在每日频率下，我们的模型预测绿色和棕色公司的股票价格对气候新闻风险的响应时间。我们展示了这种响应时间如何提高传统风险管理统计的准确性，例如，风险价值和预期不足，从而提高管理公司暴露于此类风险的效率。在高频率下，我们扩展了自回归条件持续时间（ACD）模型，并表明，在IG-ACD-GARCH框架中，气候变化新闻的到来有助于绿色（而不是棕色）公司回报的波动性。这一发现归因于公众和投资者对气候变化的担忧，或者他们认为气候转型政策在应对气候变化方面是无效的。

{"title":"A stochastic model for predicting the response time of green vs brown stocks to climate change news risk","authors":"Hany Fahmy","doi":"10.1016/j.jbankfin.2025.107507","DOIUrl":"10.1016/j.jbankfin.2025.107507","url":null,"abstract":"<div><div>We model the dynamic evolution of the attention process over the duration of climate change news events as a Brownian motion with an absorbing barrier, where attention to the news event ceases. In this framework, the duration of the underlying news event is a random variable whose probability distribution is the Inverse Gaussian (IG). We show that the IG distribution of news duration can be used to predict the response time of asset prices to climate news risk. We test the empirical validity of our model by constructing two novel climate news duration data sets: a daily duration and an hour-by-hour intra-news duration. At the daily frequency, our model predicts the response time of green versus brown firms’ stock prices to climate news risk. We demonstrate how this response time can enhance the precision of conventional risk management statistics, e.g., Value at Risk and expected shortfall, and in consequence improves the efficiency of managing firms’ exposures to such risk. At the high frequency, we extend the autoregressive conditional duration (ACD) model and show that, in an IG-ACD-GARCH framework, climate change news arrivals contribute to the volatility of green (but not brown) firms’ returns. This finding is attributed to public and investors’ concerns about climate change or to their belief that climate transition policies are ineffective in combating climate change.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107507"},"PeriodicalIF":3.6,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144535973","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}

引用次数: 0

Bank board structure and loan syndication 银行董事会结构和银团贷款

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-24 DOI: 10.1016/j.jbankfin.2025.107511

Lindsay Baran , Steven A. Dennis , Maneesh K. Shukla

We study the impact of bank board structure as a signaling mechanism in loan syndication. We find that the quality of the lead arranger’s board, and specifically the monitoring quality of the board, has a positive effect on the ability to syndicate a loan. The impact of board quality is separate and distinct from lead arranger reputation. Board monitoring quality plays a more important role when the borrower and lead arranger have no prior relationship, after the bankruptcy of an existing borrower, and during the financial crisis. We posit that one channel for our findings is through board oversight of the CEO, and we provide evidence that CEO quality partially mediates the relationship between board quality and loan syndication. Overall, we conclude the quality of the lead arranger’s board, as a separate and distinct effect to reputation, serves as a credible signal to participant banks, mitigating moral hazard and adverse selection concerns.

我们研究了银行董事会结构作为银团贷款信号机制的影响。我们发现，牵头安排人董事会的质量，特别是董事会的监督质量，对银团贷款的能力有积极影响。董事会质量的影响与首席编曲人的声誉是分开和不同的。当借款人和牵头安排人没有任何先前关系时，在现有借款人破产后，以及在金融危机期间，董事会监督质量发挥更重要的作用。我们假设我们的发现的一个渠道是通过董事会对CEO的监督，我们提供的证据表明，CEO质量部分中介董事会质量和银团贷款之间的关系。总体而言，我们得出结论，作为对声誉的独立而独特的影响，牵头行董事会的质量可以向参与银行发出可信的信号，减轻道德风险和逆向选择担忧。

引用次数: 0

Motivated beliefs about stock returns 对股票收益的动机信念

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-24 DOI: 10.1016/j.jbankfin.2025.107510

Carlos Cueva , Iñigo Iturbe-Ormaetxe

Systematic biases in return expectations can distort stock prices and lead to inefficient capital allocation. In this paper, we report experimental evidence that buying a stock induces optimistically biased expectations when its price drops below the purchase price. We find this effect across two experimental settings, a controlled laboratory experiment and a six-week-long online experiment involving real equities traded in the stock market in real time. Our results are consistent with the idea that investors form “motivated beliefs” about stocks returns. In addition, motivated beliefs explain a substantial part of the reluctance to sell losing stocks, as in the well-known disposition effect.

回报预期的系统性偏差会扭曲股价，导致资本配置效率低下。在本文中，我们报告了实验证据，即当股票价格低于购买价格时，购买股票会产生乐观偏见预期。我们在两个实验设置中发现了这种效应，一个是受控的实验室实验，另一个是为期六周的在线实验，涉及股票市场上实时交易的真实股票。我们的结果与投资者对股票回报形成“动机信念”的观点是一致的。此外，动机信念在很大程度上解释了不愿出售亏损股票的原因，如众所周知的处置效应。

引用次数: 0

Life insurance convexity 人寿保险的凸性

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-23 DOI: 10.1016/j.jbankfin.2025.107502

Christian Kubitza , Nicolaus Grochola , Helmut Gründl

Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document empirically by exploiting plausibly exogenous variation in monetary policy. Using a calibrated model, we examine the impact of surrender options on insurers’ liquidity and portfolio rebalancing during an interest rate rise. We show how asset sales result from insurer balance sheet dynamics and explore their interaction with investment strategies and surrender value guarantees.

寿险公司出售带有退保期权的储蓄合同，允许投保人提前获得保证的退保价值。当利率上升时，这些退让期权向货币方向移动。因此，更高的利率提高了退保率，正如我们通过利用货币政策中看似合理的外生变化的经验证明的那样。本文利用一个校准模型，考察了利率上升期间退保期权对保险公司流动性和投资组合再平衡的影响。我们展示了资产出售是如何从保险公司的资产负债表动态中产生的，并探讨了它们与投资策略和退保价值保证的相互作用。

引用次数: 0

Newswire tone-overlay commodity portfolios Newswire tone-overlay商品投资组合

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-21 DOI: 10.1016/j.jbankfin.2025.107501

Adrian Fernandez-Perez , Ana-Maria Fuertes , Joëlle Miffre , Nan Zhao

This paper introduces the tone-overlay framework for adjusting traditional commodity signals based on the level of salient optimism or pessimism in commodity newswires. By implementing the novel tone-overlay allocation strategy on 26 commodities using traditional allocation signals, we demonstrate that the resulting long-short portfolios yield substantial performance gains compared to the corresponding plain-vanilla traditional portfolios. Our findings suggest that newswire tone provides short-term predictive power for commodity futures returns, beyond well-known commodity characteristics. The tone-overlay portfolios harness a temporary mispricing that reflects an overreaction of commodity futures prices to commodity-specific newswire tone. The outperformance of the tone overlay strengthens with the salience of the newswire tone, consistent with theories of limited investor attention.

本文介绍了一种基于商品通讯社中显著乐观或悲观程度调整传统商品信号的音调叠加框架。通过使用传统的配置信号对26种商品实施新的音调叠加配置策略，我们证明了与相应的普通传统投资组合相比，由此产生的多空投资组合产生了可观的业绩收益。我们的研究结果表明，除了众所周知的商品特征之外，新闻专线语气对商品期货回报提供了短期预测能力。音调叠加投资组合利用了一种暂时的错误定价，这种错误定价反映了商品期货价格对特定商品的新闻语气的过度反应。音调叠加的优异表现加强了新闻专线音调的突出性，这与投资者注意力有限的理论是一致的。

引用次数: 0

Foreign bank lending during COVID-19 COVID-19期间外国银行贷款

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-21 DOI: 10.1016/j.jbankfin.2025.107488

Yusuf Emre Akgündüz , Seyit Mümin Cılasun , H. Özlem Dursun-de Neef , Yavuz Selim Hacıhasanoğlu , Ibrahim Yarba

We study whether foreign banks’ exposure to the pandemic in their home countries affected their lending in Türkiye. Although foreign banks issued more loans than domestic banks, the ones with higher exposure to the pandemic decreased their lending significantly: 1 percentage point higher number of deaths per thousand people in their home countries led to an almost 0.5 percent reduction in lending. This reduction was alleviated by the fiscal support provided in their home countries. Our results support an international spillover of the pandemic shock and the implemented fiscal policies via banks.

我们研究外国银行对本国疫情的敞口是否会影响它们在日本的贷款。尽管外国银行发放的贷款多于国内银行，但受疫情影响较大的银行的贷款大幅减少：本国每千人死亡人数增加1个百分点，导致贷款减少近0.5%。这一减少因其本国提供的财政支助而有所缓解。我们的研究结果支持大流行冲击的国际溢出效应以及通过银行实施的财政政策。

引用次数: 0

Seeing is believing: Tourism and foreign equity investments 眼见为实：旅游业和外国股权投资

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-19 DOI: 10.1016/j.jbankfin.2025.107498

Constantinos Antoniou , Carina Cuculiza , Alok Kumar , Lizhengbo Yang

This study examines whether international tourism affects financial market investments. Using over two decades of data for more than 30 countries, we find that recreational travel between countries is associated with higher levels of foreign equity investments and reduced home bias. This evidence of tourism-induced foreign investment is consistent with the familiarity hypothesis and is unlikely to reflect superior information. We alleviate potential endogeneity concerns using several econometric techniques, including instrumental variables, quasi-natural experiments, and multiple placebo tests. Collectively, these results suggest that tourism has positive externalities in financial markets.

本研究探讨国际旅游是否影响金融市场投资。利用30多个国家20多年的数据，我们发现，国家之间的休闲旅游与较高水平的外国股权投资和减少的本土偏见有关。旅游业引起的外国投资的这一证据与熟悉假设是一致的，不太可能反映出优越的信息。我们使用几种计量经济学技术，包括工具变量、准自然实验和多重安慰剂测试，减轻了潜在的内生性担忧。总的来说，这些结果表明旅游在金融市场中具有正外部性。

引用次数: 0

Sovereign loan guarantees and financial stability 主权贷款担保和金融稳定

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-13 DOI: 10.1016/j.jbankfin.2025.107483

Ivan De Lorenzo Buratta , Tiago Pinheiro

We analyze the effects of sovereign loan guarantees on financial stability in Portugal using a DSGE model. Sovereign loan guarantees decrease the default rate of banks and increase credit. On the other hand, guarantees increase the leverage and default rate of firms. These effects are larger the lower the sensitivity of the capital of banks to capital requirements. Behind these results are the reduction in regulatory risk-weights and the transfer of loan losses from banks to the sovereign brought by sovereign loan guarantees. A decomposition of the impact of sovereign loan guarantees suggests that insuring banks against loan losses can complement and enhance conventional macroprudential policy.

我们使用DSGE模型分析主权贷款担保对葡萄牙金融稳定的影响。主权贷款担保降低了银行的违约率，增加了信贷。另一方面，担保增加了企业的杠杆率和违约率。银行资本对资本要求的敏感性越低，这些影响就越大。这些结果的背后是监管风险权重的降低，以及主权贷款担保带来的贷款损失从银行转移到主权国家。对主权贷款担保影响的分解表明，为银行提供贷款损失保险可以补充和加强传统的宏观审慎政策。

引用次数: 0

Predicting IPO first-day returns: Evidence from machine learning analyses* 预测IPO首日收益：来自机器学习分析的证据*

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-10 DOI: 10.1016/j.jbankfin.2025.107500

Gonul Colak , Mengchuan Fu , Iftekhar Hasan

Predicting IPO first-day returns is inherently challenging due to the wide range of contributing factors, each with distinct statistical properties. We assess the performance of several machine learning (ML) techniques and identify XGBoost as the most statistically effective model for forecasting first-day returns. Using a comprehensive set of 863 pre-IPO variables, our high-performing predictive model accurately estimates both the direction and magnitude of IPO first-day returns. The most influential predictors include underwriter agency measures, price revision, and the free-float fraction. Using a rolling-window predictive approach, the model demonstrates substantial practical value, generating approximately $300 billion in gains from IPOs with positive first-day returns and avoiding more than $22 billion in losses from those with negative returns over the 2000–2016 period.

由于影响IPO首日回报率的因素很多，而且每个因素都有不同的统计特性，因此预测IPO首日回报率本身就具有挑战性。我们评估了几种机器学习（ML）技术的性能，并确定XGBoost是预测首日收益的最有效的统计模型。利用863个IPO前变量，我们的高性能预测模型准确地估计了IPO首日收益的方向和幅度。最具影响力的预测因素包括承销商机构措施、价格修正和自由流通股比例。使用滚动窗口预测方法，该模型显示了巨大的实用价值，在2000年至2016年期间，从首日收益为正的ipo中产生了约3000亿美元的收益，并避免了超过220亿美元的负收益损失。

引用次数: 0

Board declassification and bargaining power 董事会解密和议价能力

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-06-04 DOI: 10.1016/j.jbankfin.2025.107490

Miroslava Straska, H. Gregory Waller

We examine the relations between recent board declassifications, takeover activity and takeover gains over the period 2003–2014. We report that firms that declassified their boards in the previous five years are more likely to be a takeover target compared to firms whose boards remain classified. We also report that, once targeted, these firms receive lower takeover premiums and realize lower abnormal returns around the announcement of the transaction. Finally, we find that these firms obtain a smaller share of abnormal dollar merger gains. These results are consistent with the interpretation that firms that declassified their boards have lost some bargaining power in negotiating M&A transactions.

我们研究了2003-2014年期间最近的董事会解密、收购活动和收购收益之间的关系。我们的报告显示，在过去五年中解密董事会的公司比董事会仍然保密的公司更有可能成为收购目标。我们还报告说，一旦被收购，这些公司获得的收购溢价较低，在交易宣布前后实现的异常回报也较低。最后，我们发现这些公司在非正常美元并购收益中所占的份额较小。这些结果与一种解释是一致的，即对董事会进行解密的公司在并购交易谈判中失去了一些议价能力。

引用次数: 0

首页上一页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Journal of Banking & Finance

全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.

﹀