Journal of Banking & Finance最新文献

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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 : 2026-01-10 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。

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 : 2026-01-09 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。

引用次数: 0

Tail risk exposure and the cross section of expected stock returns 尾部风险暴露与股票预期收益的横截面

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2026-01-09 DOI: 10.1016/j.jbankfin.2025.107626

Maxime L.D. Nicolas

This paper investigates whether stocks earn a premium for their sensitivity to market tail events, referred to as tail risk exposure (TRE). We show that commonly used estimators of TRE, typically based on tail dependence between asset and market returns exhibit significant statistical biases, particularly in the presence of general market dependence. Empirically, we find that tail risk is priced only in low-correlation stocks, where average market comovement is weak. This suggests that investors underestimate TRE in low-correlation stocks and overestimate it in high-correlation stocks. To address this, we propose a novel double-sort portfolio strategy that accounts for both TRE and correlation, allowing us to isolate and accurately price TRE. This strategy consistently outperforms traditional single-sort methods in terms of predictive accuracy and risk-adjusted returns.

本文研究股票是否因其对市场尾部事件的敏感性而获得溢价，即尾部风险暴露（TRE）。我们表明，通常基于资产和市场回报之间的尾部相关性的常用的资产收益率估计器显示出显著的统计偏差，特别是在一般市场相关性存在的情况下。从经验上看，我们发现尾部风险只在低相关性股票中定价，在这些股票中，平均市场波动较弱。这表明投资者在低相关性股票中低估了TRE，而在高相关性股票中高估了TRE。为了解决这一问题，我们提出了一种新的双重分类投资组合策略，该策略同时考虑了TRE和相关性，使我们能够分离并准确地对TRE进行定价。这种策略在预测准确性和风险调整收益方面始终优于传统的单一排序方法。

引用次数: 0

Vanity in teams 团队中的虚荣心

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2026-01-08 DOI: 10.1016/j.jbankfin.2026.107637

Daniel Dorn , Pramod Kumar Yadav

We hypothesize that vanity amplifies realization utility in teams; admitting mistakes is particularly painful when mistakes have to be admitted to self and colleagues. Consistent with the Vanity hypothesis, U.S. stock funds run by teams hold on to losers when losers were initiated by a subset of the team (to avoid admitting a mistake to their non-initiating colleagues), when initiators of loser positions are more experienced (to avoid losing authority by admitting mistakes to junior colleagues), and when all colleagues agree that a position is a loser. Vanity is costly – losers held underperform by a risk-adjusted 1% annually.

我们假设虚荣心放大了团队中的实现效用；当必须向自己和同事承认错误时，承认错误尤其痛苦。与虚荣心假说相一致的是，当亏损头寸由团队中的一小部分人发起时（避免向非发起人承认错误），当亏损头寸的发起人更有经验时（避免向初级同事承认错误而失去权威），以及当所有同事都同意某个头寸是亏损头寸时，由团队管理的美国股票基金会持有亏损头寸。虚荣心的代价是高昂的——失败者每年的风险调整后表现落后1%。

引用次数: 0

ESG and bond market resilience: Evidence from the Covid crisis ESG和债券市场弹性：来自新冠危机的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2026-01-08 DOI: 10.1016/j.jbankfin.2026.107634

Sudheer Chava , Polina Efremenko , Carolina Salva

We document a smaller expansion of the negative CDS-bond basis and lower selling pressure during the Covid crisis for bonds issued by firms with high environmental and social (E&S) scores, relative to bonds from low E&S firms. This pattern is consistent with lower investor outflows from sustainability focused funds rather than fund managers discriminating among which bonds to sell. Our results suggest that the relative performance of high and low E&S bonds during a crisis is influenced not only by shifts in firm fundamentals, but also by non-fundamental factors such as investor preferences and trading behaviour.

我们发现，与环境和社会（E&；S）得分较低的公司发行的债券相比，在新冠危机期间，环境和社会（E&；S）得分较高的公司发行的债券的负cds债券基数扩张较小，抛售压力较小。这种模式与投资者较少从关注可持续性的基金流出，而不是基金经理区分出售哪些债券的情况是一致的。我们的研究结果表明，在危机期间，高债券和低债券的相对表现不仅受到公司基本面变化的影响，还受到投资者偏好和交易行为等非基本面因素的影响。

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 : 2026-01-07 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。

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 : 2026-01-05 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。

引用次数: 0

Effectiveness of warning signal and overconfident investors 警告信号的有效性和投资者的过度自信

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2026-01-05 DOI: 10.1016/j.jbankfin.2025.107617

Koen Inghelbrecht , Mariachiara Tedde

This study investigates the impact of the MiFID-mandated warning signal on curbing excessive trading behavior among investors. According to MiFID regulations, brokers must warn investors when a financial product is deemed inappropriate. Our theoretical model proposes that an effective warning signal can reduce investors demand for risky assets, thereby lowering transaction costs and potentially reducing broker profit. Furthermore, a salient warning signal may improve investors payoffs. Using a regression discontinuity design and a unique brokerage dataset, our empirical analysis confirms these propositions. We find that an effective warning signal is associated with reduced excessive trading, lower transaction costs, and, to some extent, better investor performance. Additionally, we examine the influence of investor overconfidence in financial literacy on the signal effectiveness, finding that overconfidence (partially) counteracts the signal impact.

本研究探讨了mifid强制预警信号对抑制投资者过度交易行为的影响。根据MiFID的规定，当一种金融产品被认为不合适时，经纪商必须向投资者发出警告。我们的理论模型提出，有效的预警信号可以降低投资者对风险资产的需求，从而降低交易成本，并可能降低经纪商的利润。此外，一个显著的警告信号可能会提高投资者的回报。使用回归不连续设计和独特的经纪数据集，我们的实证分析证实了这些命题。我们发现，有效的预警信号与减少过度交易、降低交易成本以及在某种程度上提高投资者绩效有关。此外，我们考察了投资者对金融知识的过度自信对信号有效性的影响，发现过度自信（部分）抵消了信号的影响。

引用次数: 0

Cash-back rewards: Effects on spending and debt accumulation 现金返还奖励：对支出和债务积累的影响

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2026-01-05 DOI: 10.1016/j.jbankfin.2025.107616

Sumit Agarwal , Swee Hoon Ang , Yonglin Wang , Jian Zhang

This paper assesses the impact on consumption and debt repayment from a credit card promotional campaign offering cash-back rewards. Using account-level administrative data from a large U.S. financial institution, we employ a generalized difference-in-differences design and find that even with a small 1% cash-back incentive, the rewards program leads to a substantial change in consumer behavior. Cardholders joining the rewards program increase their credit card spending by 32% and their debt by 8%, with such behavior persisting in the long run. Evidence from credit bureau confirms that the higher spending and debt are not driven by cross-card substitution or similar promotions by other card issuers. Different consumer segments respond differentially to the promotional campaign. Consumers with a higher level of liquidity constraints and who are less financially literate demonstrate more pronounced responses.

本文评估了提供现金回馈的信用卡促销活动对消费和债务偿还的影响。利用美国一家大型金融机构的账户级管理数据，我们采用了一种广义的差异设计，发现即使只有1%的现金返还激励，奖励计划也会导致消费者行为的实质性变化。加入奖励计划的持卡人的信用卡消费增加了32%，债务增加了8%，而且这种行为会长期持续下去。来自信用局的证据证实，较高的支出和债务不是由其他发卡机构的跨卡替代或类似促销所驱动的。不同的消费者群体对促销活动的反应不同。流动性受限程度较高和财务知识较差的消费者表现出更明显的反应。

引用次数: 0

Gas price caps and volatility transmission in commodity and equity markets 天然气价格上限与大宗商品和股票市场波动传导

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2026-01-03 DOI: 10.1016/j.jbankfin.2025.107614

Corrado Botta , Roy Cerqueti , Roberto Savona

We study the effects of alternative price-cap mechanisms applied to the European gas market on price and volatility dynamics. Within a multivariate framework with dynamic correlations, we simulate counterfactual policy regimes and trace their spillovers to energy, agricultural, metal, and equity markets. We focus on the European natural gas market from January 2013 to October 2023. The results show the following. First, a cap rule based on a fixed price mechanism consistently lowers energy prices, even if volatility can be high. Second, the gas price cap measure adopted by the European Commission and currently enforced is more conservative in terms of the probability of activation. Third, a mechanism directly related to gas price volatility performs better in containing energy prices and taming volatility spillover effects in commodity and equity markets.

我们研究了适用于欧洲天然气市场的替代价格上限机制对价格和波动动态的影响。在具有动态相关性的多元框架内，我们模拟了反事实政策制度，并追踪其对能源、农业、金属和股票市场的溢出效应。我们专注于2013年1月至2023年10月的欧洲天然气市场。结果显示如下。首先，基于固定价格机制的上限规则会持续降低能源价格，即使波动性可能很高。其次，欧盟委员会采用并目前执行的天然气价格上限措施在激活可能性方面更为保守。第三，与天然气价格波动直接相关的机制在抑制能源价格和抑制大宗商品和股票市场波动溢出效应方面表现更好。

引用次数: 0

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