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Illegal insider trading profitability and the legal environment 非法内幕交易的盈利能力与法律环境
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-04-01 Epub Date: 2025-12-13 DOI: 10.1016/j.jbankfin.2025.107609
Jonathan A. Batten , Lanlan Liu , Yezhou Sha
This study examines how provincial legal environments shape the profitability of illegal insider trading in China. Using 521 adjudicated insider-trading cases from 2006 to 2018, we hand-collect detailed information from court judgments and CSRC sanction documents to reconstruct holding-period returns and illicit gains. We combine these data with established provincial indices of legal development and firm-level measures of ex ante litigation risk to test whether legal risk is priced in illegal insider trades. We find that stronger provincial legal environments are associated with significantly higher per-trade profitability among illegal trades that insiders execute after accounting for enforcement risk. This pattern is consistent with a risk-compensation mechanism rather than a failure of enforcement, as stricter legal environments deter low-return trades and leave only trades with sufficiently high expected gains. Firm-level litigation exposure further strengthens this effect. The results remain robust to sample-selection corrections, alternative return measures and a range of heterogeneity tests. Overall, our findings show how institutional variation in enforcement shapes insider incentives and the risk–return trade-off of illegal trading.
本研究考察了中国省级法律环境如何塑造非法内幕交易的盈利能力。利用2006年至2018年521起已判决的内幕交易案件，我们手工收集了法院判决和证监会制裁文件中的详细信息，以重建持股期间的收益和非法收益。我们将这些数据与已建立的省级法律发展指数和公司层面的事前诉讼风险指标相结合，以检验法律风险是否在非法内幕交易中定价。我们发现，在考虑执法风险后，更强的省级法律环境与内部人员执行的非法交易的每笔盈利能力显著更高相关。这种模式与风险补偿机制相一致，而不是执法失败，因为更严格的法律环境会阻止低回报的交易，只留下预期收益足够高的交易。公司层面的诉讼风险进一步强化了这种效应。结果仍然稳健性的样本选择更正，替代返回措施和异质性测试的范围。总体而言，我们的研究结果表明，执法方面的制度差异如何影响内幕激励和非法交易的风险回报权衡。
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引用次数: 0
From chain waves to market moves: Untangling price efficiency in the supply chain network 从链条波动到市场波动：解开供应链网络中的价格效率
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-04-01 Epub Date: 2026-01-10 DOI: 10.1016/j.jbankfin.2026.107639
Yahui Liu , Wenxuan Zhao , Di Gao , Zhaohui Chen
In this study, we examine how firms’ structural positions within supply chain networks influence stock price efficiency. Using a supplier-customer dataset for Chinese A-share listed firms, we construct a dynamic firm-level supply chain network and measure structural positions using degree centrality and structural hole centrality. We find that more central firms exhibit higher stock price efficiency. Further analysis demonstrates that centrality enhances price efficiency through both a disclosure channel and an information production channel. Cross-sectional analyses indicate that this relationship is stronger for firms with higher active institutional ownership, greater access to foreign investors, and fewer short-selling constraints but weakens during periods of elevated investor sentiment, underscoring the role of institutional investors in information acquisition. Finally, we find that the improved price efficiency of central firms translates into a lower cost of equity.
在本研究中，我们考察了企业在供应链网络中的结构位置如何影响股价效率。本文利用a股上市公司的供应商-客户数据集，构建了一个动态的企业层面供应链网络，并利用度中心性和结构孔中心性度量了供应链的结构位置。研究发现，中心企业越多，其股价效率越高。进一步分析表明，中心性通过信息披露渠道和信息生产渠道提高了价格效率。横断面分析表明，这种关系对于拥有较高活跃机构所有权、更容易接触到外国投资者、卖空限制较少的公司更强，但在投资者情绪高涨期间减弱，强调了机构投资者在信息获取中的作用。最后，我们发现中央企业价格效率的提高转化为更低的股权成本。
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引用次数: 0
Asset management with an ESG mandate 具有ESG授权的资产管理
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.jbankfin.2026.107640
Michele Azzone , Emilio Barucci , Davide Stocco
We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance and to attain a certain ESG score (ESG mandate). Provided that a negative ESG premium is priced by the market, we show that an ESG mandate can reduce the mean–variance inefficiency of the portfolio frontier when the asset manager targets a limited over-performance return with respect to the benchmark. In equilibrium, with mean–variance investors and asset managers endowed with an ESG mandate, a negative ESG premium arises if the mandate is binding for asset managers. The negative ESG premium is due to the ESG constraint (institutional investors over-invest in virtuous ESG stocks). We find empirical evidence of such a negative premium in the US market.
我们研究了当机构投资者以最小化跟踪误差方差和获得一定的ESG分数（ESG授权）为目标时，均衡下的投资组合边界和风险溢价。假设负ESG溢价由市场定价，我们表明，当资产管理公司的目标是相对于基准的有限超额回报时，ESG授权可以减少投资组合边界的均值方差低效率。在均衡状态下，均值方差投资者和资产管理公司被赋予了ESG任务，如果该任务对资产管理公司具有约束力，就会出现负的ESG溢价。负ESG溢价是由于ESG约束（机构投资者过度投资良性ESG股票）。我们在美国市场发现了这种负溢价的实证证据。
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引用次数: 0
Sustainability in commodity markets 商品市场的可持续性
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2025-12-04 DOI: 10.1016/j.jbankfin.2025.107599
Guillaume Coqueret , Bertrand Tavin , Yuxin Zhou
We examine the asset pricing implications of sustainability in commodity markets. We focus on metals and agricultural goods, for which we collect production-based environmental footprint data, namely greenhouse gas emissions and water consumption. We then build green-minus-brown portfolios and find no evidence that sustainability is priced in the cross-section of metals’ and agricultural commodities’ returns. We also document strong welfare benefits when diversifying equity and bond allocations with low-carbon commodities. Investor welfare, measured by the certainty equivalent return, increases by 22% when the commodity share is 20%. These results reveal the dual opportunities, both financial and environmental, brought by low footprint commodities.
我们研究了商品市场中可持续性的资产定价含义。我们专注于金属和农产品，为此我们收集基于生产的环境足迹数据，即温室气体排放和水消耗。然后，我们建立了绿色减去棕色的投资组合，发现没有证据表明金属和农产品回报的横截面反映了可持续性。我们还发现，将股票和债券配置与低碳商品相结合，会带来强劲的福利效益。以确定性等价回报衡量的投资者福利，在商品份额为20%时增加了22%。这些结果揭示了低足迹商品带来的金融和环境双重机遇。
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引用次数: 0
How do assessed values affect the transaction prices of homes? 评估价值如何影响房屋的交易价格？
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2025-12-23 DOI: 10.1016/j.jbankfin.2025.107610
Marcel Fischer , Patrick Hauf , Simon Stehle
Property taxes are commonly levied as a percentage of a home’s assessed value (AV). AVs should affect home prices through opposing channels. An unexpected increase in AV implies higher tax payments, which should hurt a home’s selling price (tax channel). On the other hand, the increase should have a positive effect since AVs serve as reference prices (anchoring channel). In a quasi-experimental setting exploiting geographic variations in AV-publication dates and reassessment frequencies, we find that a higher AV leads to a lower transaction price, indicating that the tax channel prevails. Disentangling the aggregate effect, we document that empirically, the anchoring channel does not play a major role. Our results thus suggest an exacerbation of previously documented inequities caused by taxation.
财产税通常按房屋评估价值（AV）的百分比征收。自动驾驶汽车应该通过相反的渠道影响房价。AV的意外增加意味着更高的税收，这应该会损害房屋的销售价格（税收渠道）。另一方面，由于自动驾驶汽车作为参考价格（锚定渠道），这一增长应该具有积极的影响。在利用AV发布日期和重新评估频率的地理差异的准实验设置中，我们发现较高的AV导致较低的交易价格，表明税收渠道占主导地位。在解开聚合效应后，我们从经验上证明，锚定渠道并不起主要作用。因此，我们的研究结果表明，以前记录的由税收引起的不平等加剧。
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引用次数: 0
Can the bid–ask spread explain the trend in aggregate idiosyncratic variance? 买卖价差能否解释总体特质方差的趋势？
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2026-01-02 DOI: 10.1016/j.jbankfin.2025.107622
David A. Lesmond , Xuhui (Nick) Pan
We establish the bid–ask spread bias embedded in the Campbell et al. (2001; 2022) (CLMX) estimate of idiosyncratic variance (IV). Minimizing the bid–ask spread effect by using quote midpoints or increasing the return horizon eliminates the upward (CLMX) and downward time trend (Bekaert et al., 2012) in IV. Five natural experiments illustrate that an exogenous shock in the recording of transaction prices significantly affects the resulting time trend in IV. Cross-sectional and time-series regressions show that the bid–ask spread subsumes the CLMX IV time trend.
我们在Campbell et al. (2001; 2022) （CLMX）对特质方差（IV）的估计中建立了买卖价差偏差。通过使用报价中点或增加收益水平来最小化买卖价差效应，消除了IV中的向上（CLMX）和向下的时间趋势（Bekaert et al., 2012）。五个自然实验表明，交易价格记录中的外生冲击显著影响IV中产生的时间趋势。横截面回归和时间序列回归表明，买卖价差包含CLMX IV时间趋势。
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引用次数: 0
Option introduction, short-sale constraints, and stock price efficiency: New evidence from IPO lockup periods 期权引入、卖空约束和股价效率：来自IPO锁定期的新证据
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2026-01-07 DOI: 10.1016/j.jbankfin.2026.107633
Li Wang
We examine whether option availability improves price efficiency of IPO stocks during the lockup periods. Using a difference-in-difference analysis, we show that before September 2008, optioned IPOs exhibit significantly higher price efficiency than non-optioned IPOs during lockup periods across three measures. This efficiency advantage coincides with a regulatory exemption that allowed option market makers (OMMs) to short sell without pre-borrowing shares or complying with “close-out” requirements. After the exemption was eliminated, the efficiency advantage disappears. Additional evidence from Deep-In-the-Money option trading and fail-to-deliver data supports the mechanism that options enhance price efficiency by relaxing short-sale constraints during lockup periods.
我们考察期权可得性是否提高了IPO股票在锁定期的价格效率。通过差异中差异分析，我们发现在2008年9月之前，期权型ipo在锁定期的价格效率显著高于非期权型ipo。这种效率优势与一项监管豁免相吻合，该豁免允许期权做市商（omm）在不预先借入股票或遵守“平仓”要求的情况下卖空股票。取消免征后，效率优势消失。来自深度交易期权和交割失败数据的额外证据支持期权通过在锁定期放松卖空限制来提高价格效率的机制。
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引用次数: 0
Stranded in the wastelands? Natural capital depletion and bank deposit reallocation 被困在荒地上？自然资本枯竭和银行存款再配置
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2026-01-05 DOI: 10.1016/j.jbankfin.2025.107624
Manuel Ramos-Francia , Peter Karlström , Ricardo Montañez-Enríquez , Matias Ossandon Busch
Using unique data on natural capital stock in Mexico since the 1980s, this paper shows that significant natural capital losses are associated with a reallocation of bank deposits and credit, shifting funds from environmentally distressed regions to those with abundant natural capital. Identification relies on comparing bank branches within the same municipality that differ in exposure to natural capital losses through their banks’ regional spread. The findings highlight that adaptation responses to environmental degradation can be affected by a natural capital depletion spiral, driven by a geographical reallocation of bank activities.
本文利用20世纪80年代以来墨西哥自然资本存量的独特数据表明，重大的自然资本损失与银行存款和信贷的重新配置有关，将资金从环境受损地区转移到自然资本丰富的地区。识别依赖于比较同一城市内的银行分支机构，这些分支机构因其银行的区域分布而在自然资本损失方面存在差异。研究结果强调，对环境退化的适应反应可能受到自然资本枯竭螺旋的影响，这种螺旋是由银行活动的地理重新分配驱动的。
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引用次数: 0
Machine learning in corporate bonds: Evidence from China 公司债券中的机器学习：来自中国的证据
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2026-01-09 DOI: 10.1016/j.jbankfin.2026.107636
Yvonne Fang , Xiaolu Hu , Angel Zhong , Zheyao Pan , Youdan Cao
This study employs a broad set of machine learning (ML) methods to examine cross-sectional variation in corporate bond returns in China. Using macroeconomic indicators together with bond- and issuer-specific characteristics, we find that ML techniques outperform traditional linear models in both statistical and economic terms. These models are particularly effective at capturing distinctive features of the Chinese market, including the dominance of state-owned enterprises, implicit government guarantees, and rapid market evolution. We compare long-short and long-only portfolio strategies to account for practical constraints on short selling. The results indicate that ML methods are effective in markets where institutional features and information asymmetries play a central role in asset pricing.
本研究采用了一套广泛的机器学习（ML）方法来检验中国公司债券回报的横截面变化。使用宏观经济指标以及债券和发行人的特定特征，我们发现机器学习技术在统计和经济方面都优于传统的线性模型。这些模型在捕捉中国市场的独特特征方面特别有效，包括国有企业的主导地位、隐性政府担保和快速的市场演变。我们比较了多空和只做多的投资组合策略，以说明卖空的实际限制。结果表明，机器学习方法在制度特征和信息不对称在资产定价中发挥核心作用的市场中是有效的。
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引用次数: 0
Corporate labor violations: Do CEOs’ public charity affiliations matter? 企业违反劳动法：ceo的公益慈善关系重要吗？
IF 3.8 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2026-03-01 Epub Date: 2025-12-30 DOI: 10.1016/j.jbankfin.2025.107625
Mariem Khalifa , Mehdi Khedmati , Mohammed Aminu Sualihu , Alfred Yawson
We examine the impact of CEOs’ public charity affiliations on corporate labor violations and find that public-charity-affiliated CEOs have a lower likelihood of engaging in labor violations than their non-affiliated peers. In a disaggregated analysis, we find the result to be driven primarily by wage and hour violations. This finding is validated when we compare changes in wage and hour violations around different types of CEO turnover. We further identify the promotion of a positive corporate culture and an increase in labor-related expenditures as the main channels through which CEOs’ public charity affiliations affect wage and hour violations. In addition, we find that firms led by public-charity-affiliated CEOs experience lower employee turnover. The impact of public-charity-affiliated CEOs on reducing the likelihood of wage and hour violations is persistent and is more pronounced for CEOs who exhibit more altruistic behavior prior to assuming office. Overall, we provide persuasive evidence that CEOs’ public charity affiliations are beneficial to firms.
我们考察了公益慈善机构ceo对企业劳动违法行为的影响，发现公益慈善机构ceo从事劳动违法行为的可能性低于非公益慈善机构ceo。在分类分析中，我们发现结果主要是由工资和工时违规造成的。当我们比较不同类型的CEO离职时工资和工时违规的变化时，这一发现得到了验证。我们进一步发现，促进积极的企业文化和增加与劳动相关的支出是ceo公益慈善机构影响工资和工时违规行为的主要渠道。此外，我们发现，由隶属于公益慈善机构的ceo领导的公司，员工流动率较低。与公共慈善机构有关联的首席执行官对降低违反工资和工时的可能性的影响是持久的，对于那些在上任前表现出更多利他行为的首席执行官来说，这种影响更为明显。总体而言，我们提供了有说服力的证据，证明ceo的公共慈善关系对公司有利。
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引用次数: 0
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