Journal of Banking & Finance最新文献

This study examines the relative impact of seven factors, including herding, sentiments, and institutional quality, on varying levels of weak form market efficiency across 50 stock markets. The analysis focuses on the profitability of technical analysis trading strategies to address issues with other (statistical) market efficiency measures related to information and transaction costs (Griffin et al., 2010). Proxies for herding, institutional quality, and equity market development consistently emerge as the most significant cross-country determinants of relative market efficiency. In contrast, proxies for fractionalization, chaos, and investor protection play comparatively weaker roles. We also find no clear link between market efficiency and sentiment proxies.

This paper builds a novel database on the effects of macroprudential policy drawing from 58 empirical studies, comprising over 6000 results on a wide range of instruments and outcome variables. It encompasses information on statistical significance, standardized magnitudes, and other characteristics of the estimates. Using meta-analysis techniques, the paper estimates average effects to find (i) statistically significant effects on credit, but with considerable heterogeneity across instruments; (ii) weaker and more imprecise effects on house prices; (iii) quantitatively stronger effects in emerging markets and among studies using micro-level data; and (iv) statistically significant evidence of leakages and spillovers. Other findings include relatively stronger impacts for tightening than loosening actions and negative effects on economic activity in the near term.

This article investigates the impact of weather-related disasters on inflation in the euro area over the period 1996–2021. Using a panel structural vector autoregression approach, we explore whether weather-related disasters have a significant and persistent effect on inflation, as well as the role that demand-side and supply-side channels play as drivers of inflation. We also analyse the heterogeneous effects of inflation on different product categories. Our results suggest that weather-related disasters have a positive, non-persistent effect on inflation. This reflects the prevalence of negative supply shock channels and positive demand shock channels over negative demand shock channels. We also find that weather-related disasters have more pronounced effects on the inflation of product categories that represent a higher proportion of the spending of low-income households, implying that disasters reinforce inflation inequality. Overall, our results suggest that, as the climate crisis deepens, it might become increasingly challenging for the European Central Bank to control inflation and its inequality effects.

In this paper, we conduct a field experiment with a large sample of financial planner professionals in Canada to elicit factors which may influence client recommendations. Using repeated client vignettes, we find that recommendations are sensitive in expected ways to relative costs and benefits of particular products as well as client characteristics. We show that, in some domains, planners are more likely to recommend products they own themselves, their spouse owns, or they are licensed to sell. We provide evidence that product familiarity can negatively impact the quality of financial advice in specific situations. Finally, we find evidence for an effect of client involvement in the investment domain, but we do not find economically significant gender effects.

We examine the value of analysts’ recommendations using a dataset of 45 countries, 3.8 million firm-month observations, and 222 return anomalies from 1994 to 2019. Unlike U.S.-based evidence, recommendations lead to subsequent highly significant abnormal returns in international markets. Furthermore, analysts do not seem to strengthen mispricing in international markets, as they give more favorable recommendations to (anomaly-ranked) underpriced stocks, and inconsistencies between recommendations and composite anomaly ranks lead to lower, not higher, abnormal returns. Recommendations are more valuable in less developed and less individualistic markets. Our results suggest that analysts’ recommendations provide more value to investors than previously thought.