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The market for corporate control and firm information environment: Evidence from five decades of data
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107350
Xiaoran Ni , Ye Wang , David Yin
This paper reconciles conflicting empirical findings in the takeover and firm transparency literature by utilizing a comprehensive takeover index from Cain, McKeon, and Solomon (2017). Examining a broad sample of U.S. public firms from 1970 to 2020, we document a negative relation between takeover susceptibility and firm opacity, measured primarily through stock price crash risk, and also through accrual/real earnings management, financial statement readability, analyst forecast dispersion, and voluntary disclosure. Stronger takeover threats mitigate crash risk by curtailing managerial empire-building incentives, promoting timely information disclosure, and constraining manipulative accounting practices. Our research confirms the effectiveness of the market for corporate control in addressing information-related agency problems and enhancing firm transparency. These findings persist across a broad range of firms and an extended time period, addressing the limitations of earlier studies. By employing a more holistic measure of takeover vulnerability and examining multiple facets of transparency, we provide a nuanced understanding of how corporate governance mechanisms influence firm performance and risk.
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引用次数: 0
Uncertainty and cross-sectional stock returns: Evidence from China
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107374
Bruno Deschamps, Tianlun Fei, Ying Jiang, Xiaoquan Liu
We study the impact of macroeconomic and financial uncertainties on cross-sectional returns in the Chinese stock market. We find that stocks with a lower macroeconomic uncertainty beta generate higher excess returns, implying that macroeconomic uncertainty commands a negative risk premium. Meanwhile, the exposure to financial uncertainty is not priced in stock returns. Unlike financial uncertainty, macroeconomic uncertainty is a state variable that predicts a deterioration in economic activity, suggesting that investors require a premium for holding stocks that correlate negatively with it.
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引用次数: 0
Short selling and product market competition
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107335
Rafael Matta , Sergio H. Rocha , Paulo Vaz
We empirically investigate how short selling affects firms’ product market performance via a managerial monitoring channel. Using both historical data and exogenous shocks to short selling, we find robust evidence that short interest negatively impacts market shares, especially in large firms. Our Reg SHO results are stronger in concentrated industries and industries where firms compete in strategic substitutes. Further tests show that these effects are driven by low ex-ante stock price informativeness. The evidence suggests that the interaction between market power and price opacity generates incentives for overproduction, which short selling attenuates. Our results support policies that facilitate price discovery in the presence of market power.
{"title":"Short selling and product market competition","authors":"Rafael Matta ,&nbsp;Sergio H. Rocha ,&nbsp;Paulo Vaz","doi":"10.1016/j.jbankfin.2024.107335","DOIUrl":"10.1016/j.jbankfin.2024.107335","url":null,"abstract":"<div><div>We empirically investigate how short selling affects firms’ product market performance via a managerial monitoring channel. Using both historical data and exogenous shocks to short selling, we find robust evidence that short interest negatively impacts market shares, especially in large firms. Our Reg SHO results are stronger in concentrated industries and industries where firms compete in strategic substitutes. Further tests show that these effects are driven by low <em>ex-ante</em> stock price informativeness. The evidence suggests that the interaction between market power and price opacity generates incentives for overproduction, which short selling attenuates. Our results support policies that facilitate price discovery in the presence of market power.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107335"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102356","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information spillovers and cross monitoring between the stock market and loan market
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107351
Matthew T. Billett , Fangzhou Liu , Xuan Tian
We explore information spillovers and cross-monitoring between the stock and loan markets, focusing on the roles of short sellers and banks. Using Regulation SHO that directly affects short-selling constraints in the stock market but is exogenous to the loan market, we find that only those firms without bank monitors exhibit significant stock price declines upon the announcement of SHO. We also document that while short interest increases following SHO, it increases far less for firms with bank monitors. Using bank and lending relationship characteristics, we find SHO returns increase in the bank's ability and incentive to monitor. Our exploration of equity ownership structure reveals that the presence of block holders and dedicated owners has little to no effect on our results, suggesting that bank monitors complement shareholder monitoring efforts.
{"title":"Information spillovers and cross monitoring between the stock market and loan market","authors":"Matthew T. Billett ,&nbsp;Fangzhou Liu ,&nbsp;Xuan Tian","doi":"10.1016/j.jbankfin.2024.107351","DOIUrl":"10.1016/j.jbankfin.2024.107351","url":null,"abstract":"<div><div>We explore information spillovers and cross-monitoring between the stock and loan markets, focusing on the roles of short sellers and banks. Using Regulation SHO that directly affects short-selling constraints in the stock market but is exogenous to the loan market, we find that only those firms without bank monitors exhibit significant stock price declines upon the announcement of SHO. We also document that while short interest increases following SHO, it increases far less for firms with bank monitors. Using bank and lending relationship characteristics, we find SHO returns increase in the bank's ability and incentive to monitor. Our exploration of equity ownership structure reveals that the presence of block holders and dedicated owners has little to no effect on our results, suggesting that bank monitors complement shareholder monitoring efforts.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107351"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102391","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
Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107354
Jorge Wolfgang Hansen
This study examines the ability of the linear-rational square-root model to simultaneously capture cross-sectional and time-series dynamics of bond yields and their variances. The preferred model specification comprises five factors, two of which are not spanned by the yield curve, introducing unspanned stochastic volatility (USV). This specification provides a close in-sample fit to yields and yield variances, emphasizing the need for USV. Out-of-sample testing demonstrates low variance forecast errors. The specification provides evidence of USV in conditional yield variance and bond risk premia, linked to macroeconomic uncertainty.
{"title":"Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market","authors":"Jorge Wolfgang Hansen","doi":"10.1016/j.jbankfin.2024.107354","DOIUrl":"10.1016/j.jbankfin.2024.107354","url":null,"abstract":"<div><div>This study examines the ability of the linear-rational square-root model to simultaneously capture cross-sectional and time-series dynamics of bond yields and their variances. The preferred model specification comprises five factors, two of which are not spanned by the yield curve, introducing unspanned stochastic volatility (USV). This specification provides a close in-sample fit to yields and yield variances, emphasizing the need for USV. Out-of-sample testing demonstrates low variance forecast errors. The specification provides evidence of USV in conditional yield variance and bond risk premia, linked to macroeconomic uncertainty.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107354"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102348","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal delegation contract with portfolio risk
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107357
Jiliang Sheng , Yanyan Yang , Jun Yang
Conventional linear benchmarked contracts tend to cause excessive pegging to the benchmark and thus price distortion of stocks in the benchmark. This paper studies the optimal delegation contract when there is principal-agent friction. Specifically, it explores the impacts of incorporating the risk of invested portfolio in the contract on optimal strategies of the principal and the agent as well as on equilibrium asset prices. When agency friction is severe, the optimal contract provides rewards for portfolio risk to improve risk sharing and grants compensation for index return to propel the agent to deviate from pegging to index. In equilibrium, the principal conducts index investment while the agent invests only in individual risky assets, and price distortion caused by agency friction is mitigated.
{"title":"Optimal delegation contract with portfolio risk","authors":"Jiliang Sheng ,&nbsp;Yanyan Yang ,&nbsp;Jun Yang","doi":"10.1016/j.jbankfin.2024.107357","DOIUrl":"10.1016/j.jbankfin.2024.107357","url":null,"abstract":"<div><div>Conventional linear benchmarked contracts tend to cause excessive pegging to the benchmark and thus price distortion of stocks in the benchmark. This paper studies the optimal delegation contract when there is principal-agent friction. Specifically, it explores the impacts of incorporating the risk of invested portfolio in the contract on optimal strategies of the principal and the agent as well as on equilibrium asset prices. When agency friction is severe, the optimal contract provides rewards for portfolio risk to improve risk sharing and grants compensation for index return to propel the agent to deviate from pegging to index. In equilibrium, the principal conducts index investment while the agent invests only in individual risky assets, and price distortion caused by agency friction is mitigated.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107357"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102358","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A factor model for the cross-section of country equity risk premia
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107373
Christian Fieberg , Gerrit Liedtke , Adam Zaremba , Nusret Cakici
We employ instrumented principal component analysis (IPCA) to provide a new factor model for the cross-section of country equity risk premia. Using data from 71 equity markets, we identify latent factors and condition betas on a comprehensive set of accounting and market characteristics from the finance literature. A four-factor conditional asset pricing model best captures the variation in country returns, beating prominent factor models. IPCA’s superior performance stems primarily from its enhanced ability to predict emerging market returns while also generalizing well to developed markets. Among the global “signal zoo”, size, momentum, volatility, political risk, and valuation are the most important predictors of return differences.
{"title":"A factor model for the cross-section of country equity risk premia","authors":"Christian Fieberg ,&nbsp;Gerrit Liedtke ,&nbsp;Adam Zaremba ,&nbsp;Nusret Cakici","doi":"10.1016/j.jbankfin.2024.107373","DOIUrl":"10.1016/j.jbankfin.2024.107373","url":null,"abstract":"<div><div>We employ instrumented principal component analysis (IPCA) to provide a new factor model for the cross-section of country equity risk premia. Using data from 71 equity markets, we identify latent factors and condition betas on a comprehensive set of accounting and market characteristics from the finance literature. A four-factor conditional asset pricing model best captures the variation in country returns, beating prominent factor models. IPCA’s superior performance stems primarily from its enhanced ability to predict emerging market returns while also generalizing well to developed markets. Among the global “signal zoo”, size, momentum, volatility, political risk, and valuation are the most important predictors of return differences.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107373"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102371","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Conflict of interest to declare? A study of individual-controlled funds in China
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107376
Zhuang Zhuang , Carl Hsin-han Shen , Juan Yao
China's financial deregulation has led to the rise of individual-controlled fund management companies, where the largest shareholder is a person rather than an institution. This study examines these mutual funds, known as “individual-controlled funds” (ICFs), particularly from the perspective of potential conflict of interest. ICFs are more likely to prioritize performance given there is limited interference in their activities by affiliated institutions. They consistently outperform peers by 0.7 % per month, after accounting for fund characteristics. This outperformance is more pronounced when the largest individual owner has greater influence in the fund company. We also document the lower propensity of ICFs to engage in misconduct. Our findings demonstrate that minimizing conflicts of interest benefits performance in the mutual fund industry.
{"title":"Conflict of interest to declare? A study of individual-controlled funds in China","authors":"Zhuang Zhuang ,&nbsp;Carl Hsin-han Shen ,&nbsp;Juan Yao","doi":"10.1016/j.jbankfin.2024.107376","DOIUrl":"10.1016/j.jbankfin.2024.107376","url":null,"abstract":"<div><div>China's financial deregulation has led to the rise of individual-controlled fund management companies, where the largest shareholder is a person rather than an institution. This study examines these mutual funds, known as “individual-controlled funds” (ICFs), particularly from the perspective of potential conflict of interest. ICFs are more likely to prioritize performance given there is limited interference in their activities by affiliated institutions. They consistently outperform peers by 0.7 % per month, after accounting for fund characteristics. This outperformance is more pronounced when the largest individual owner has greater influence in the fund company. We also document the lower propensity of ICFs to engage in misconduct. Our findings demonstrate that minimizing conflicts of interest benefits performance in the mutual fund industry.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107376"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The association of high perceived inflation with trust in national politics and central banks✰
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107368
Carin van der Cruijsen , Jakob de Haan , Maarten van Rooij
Using a survey in the Netherlands, we find that high inflation perceptions are associated with low trust in Dutch politics and the Dutch central bank, also if we control for a broad array of potential confounding factors. The higher individuals’ perceived inflation is and the harder it is for them to make ends meet, the lower their trust in Dutch politics, the Dutch central bank, and the European Central Bank. We also find that trust in an authority is lower when it is considered responsible for bringing inflation down. Quite remarkably, most people think the government is responsible for maintaining price stability.
{"title":"The association of high perceived inflation with trust in national politics and central banks✰","authors":"Carin van der Cruijsen ,&nbsp;Jakob de Haan ,&nbsp;Maarten van Rooij","doi":"10.1016/j.jbankfin.2024.107368","DOIUrl":"10.1016/j.jbankfin.2024.107368","url":null,"abstract":"<div><div>Using a survey in the Netherlands, we find that high inflation perceptions are associated with low trust in Dutch politics and the Dutch central bank, also if we control for a broad array of potential confounding factors. The higher individuals’ perceived inflation is and the harder it is for them to make ends meet, the lower their trust in Dutch politics, the Dutch central bank, and the European Central Bank. We also find that trust in an authority is lower when it is considered responsible for bringing inflation down. Quite remarkably, most people think the government is responsible for maintaining price stability.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107368"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102373","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
Predicting individual corporate bond returns
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107372
Guanhao Feng , Xin He , Yanchu Wang , Chunchi Wu
Using machine learning and many predictors, we find strong bond return predictability, with an out-of-sample R-squared of 4.48% and an annualized Sharpe ratio of 3.27. ML models identify important predictors for aggregate predictors (bond market returns, TERM and HML factors, GDP growth) and bond characteristics (downside risk, short-term reversal, return skewness, and credit spreads). Predictability varies over time, being stronger during periods of high investor risk aversion, slow economic growth, and strong cross-sectional factor explanatory power. Our results highlight the benefits of leveraging both cross-sectional and time-series predictors to forecast corporate bond returns while considering public and private bonds.
{"title":"Predicting individual corporate bond returns","authors":"Guanhao Feng ,&nbsp;Xin He ,&nbsp;Yanchu Wang ,&nbsp;Chunchi Wu","doi":"10.1016/j.jbankfin.2024.107372","DOIUrl":"10.1016/j.jbankfin.2024.107372","url":null,"abstract":"<div><div>Using machine learning and many predictors, we find strong bond return predictability, with an out-of-sample R-squared of 4.48% and an annualized Sharpe ratio of 3.27. ML models identify important predictors for aggregate predictors (bond market returns, TERM and HML factors, GDP growth) and bond characteristics (downside risk, short-term reversal, return skewness, and credit spreads). Predictability varies over time, being stronger during periods of high investor risk aversion, slow economic growth, and strong cross-sectional factor explanatory power. Our results highlight the benefits of leveraging both cross-sectional and time-series predictors to forecast corporate bond returns while considering public and private bonds.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107372"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102388","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
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