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Treasury buybacks, the Federal Reserve’s portfolio, and changes in local supply 国债回购、美联储的投资组合以及本地供应的变化
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-23 DOI: 10.1016/j.jbankfin.2024.107286
Michael F. Connolly , Ethan Struby

We document spillover effects of the 2000–2002 Treasury Buyback program on Treasury returns and the composition of the Federal Reserve’s System Open Market Account (SOMA) portfolio. The reduction in bond supply due to the buybacks contributed an average of 95 basis points to the yields of bonds bought back and bonds of similar maturity over the course of the program. Each $10 billion of purchases corresponded with an average yield increase of 7.8 basis points. At a higher frequency, prices of purchased and near substitute bonds increased on settlement dates. Changes to the SOMA portfolio were smaller for securities exposed to the buybacks and tended to occur outside of auction weeks, consistent with the Federal Reserve attempting to avoid exacerbating Treasury supply shortages. We relate our findings to the theoretical literature on asset supply in preferred habitats models of the term structure. Our results suggest that the proposed reintroduction of the Treasury buyback program will have limited effects due to its size and proposed composition.

我们记录了 2000-2002 年国债回购计划对国债收益率和美联储系统公开市场账户(SOMA)投资组合构成的溢出效应。在计划实施期间,回购导致的债券供应减少平均使回购债券和类似期限债券的收益率提高了 95 个基点。每回购 100 亿美元,收益率平均提高 7.8 个基点。在更高频率上,购买的债券和接近替代债券的价格在结算日均有所上升。对于受回购影响的证券而言,SOMA 投资组合的变化较小,而且往往发生在拍卖周之外,这与美联储试图避免加剧国债供应短缺是一致的。我们将研究结果与期限结构首选生境模型中的资产供应理论文献联系起来。我们的结果表明,由于其规模和拟议的构成,重新引入国债回购计划的建议将产生有限的影响。
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引用次数: 0
Voting for insider trading regulation. An experimental study of informed and uninformed traders’ preferences 投票支持内幕交易监管。对知情和不知情交易者偏好的实验研究
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-22 DOI: 10.1016/j.jbankfin.2024.107295
Dominik Schmidt , Thomas Stöckl , Stefan Palan

Capital markets often regulate insider trading, but whether such regulation aligns with traders’ preferences is an open question. This study examined traders’ regulation preferences conditional on their prospects of becoming informed. Of 64 referenda, traders decided 41 (64%) against regulation. Moreover, traders’ prospects of becoming informed significantly impacted the outcomes of the referenda. In markets in which a group of traders has no chance of receiving inside information, 47% of the referenda are decided against regulation. When all traders could get such information, 81% are. Individual votes reveal that traders who know they will remain uninformed support regulation in 69.27% of the cases, while informed traders do so only 8.33% of the time. Traders who may or may not become informed support regulation 33.33% of the time.

资本市场经常对内幕交易进行监管,但这种监管是否符合交易者的偏好是一个未决问题。本研究以交易者的知情前景为条件,考察了他们的监管偏好。在 64 次公投中,交易者有 41 次(64%)决定反对监管。此外,交易者的知情前景也对公投结果产生了重大影响。在一群交易者没有机会获得内部信息的市场中,47% 的全民公投决定反对监管。而当所有交易者都有机会获得此类信息时,81%的人决定反对。个人投票结果显示,知道自己仍将一无所知的交易者在 69.27% 的情况下支持监管,而知情交易者仅在 8.33% 的情况下支持监管。可能知情也可能不知情的交易者在 33.33% 的情况下支持监管。
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引用次数: 0
Decomposing momentum: The forgotten component 分解动力:被遗忘的部分
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-21 DOI: 10.1016/j.jbankfin.2024.107292
Pascal Büsing , Hannes Mohrschladt , Susanne Siedhoff

We split up the standard momentum return over months t12 to t2 at the highest stock price within this formation period. Of the overall momentum profits in month t, 84% can be attributed to the return prior to this peak price although research has exclusively focused on the post-peak return so far. The return predictability of the forgotten component is consistent with investor underreaction as underlying mechanism. Contrary to standard momentum strategies, the corresponding long-short returns are positively skewed, avoid momentum crashes, show no market state dependence, and yield consistent return premiums in both the US and international stock markets.

我们将 t-12 月至 t-2 月的标准动量收益率按该形成期内的最高股价进行拆分。在第 t 个月的整体动量利润中,84% 可归因于最高价之前的回报,尽管迄今为止的研究都只关注最高价之后的回报。被遗忘部分的收益可预测性与投资者反应不足的内在机制是一致的。与标准的动量策略相反,相应的多空回报是正偏斜的,避免了动量崩溃,没有显示出市场状态依赖性,并且在美国和国际股票市场上都产生了一致的回报溢价。
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引用次数: 0
Pure risk, agency conflict, and hedging 纯粹风险、代理冲突和套期保值
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-17 DOI: 10.1016/j.jbankfin.2024.107294
Lu Chen , Bingqing Li , Wenyuan Zheng

This study develops a theoretical model to analyze the asset substitution problem over insurance decisions. We find that agency conflict is related to a firm’s risk level and capital structure. In particular, at the optimal leverage, agency conflict occurs only when the risk level is relatively high, which explains why insurance covenants are typically for significant pure risks. Moreover, when the risk level is specified, agency conflict over insurance decisions occurs within a specific leverage range. This is consistent with the findings of some research on the asset substitution problem over speculative risk choices. In addition, we consider premium loadings and conclude that full hedging is not a firm’s optimal risk management strategy, contributing to the literature on optimal hedging decisions with transaction frictions. Our framework with premium loadings can also explain many insurance phenomena, such as risk retention for small losses and subsidies for catastrophe insurance.

本研究建立了一个理论模型来分析保险决策中的资产替代问题。我们发现,代理冲突与公司的风险水平和资本结构有关。特别是,在最佳杠杆率下,只有当风险水平相对较高时才会发生代理冲突,这也解释了为什么保险契约通常是针对重大纯风险的。此外,当风险水平特定时,保险决策的代理冲突会在特定的杠杆范围内发生。这与一些关于投机性风险选择的资产替代问题的研究结果是一致的。此外,我们还考虑了保费加载问题,并得出结论:完全对冲并非企业的最优风险管理策略,这为有关交易摩擦下最优对冲决策的文献做出了贡献。我们的保费负载框架还能解释许多保险现象,如小额损失的风险自留和巨灾保险补贴。
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引用次数: 0
Do banks engage in earnings management? The role of dividends and institutional factors 银行是否进行收益管理?股利和制度因素的作用
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-17 DOI: 10.1016/j.jbankfin.2024.107287
Mamiza Haq , Steven Ongena , Juying Pu , Eric K.M. Tan

We investigate the impact of dividend policy on earnings quality and opportunistic earnings management for individual banks across 45 developed and developing countries between 1996 and 2019. Our estimates show that high dividend payments reduce earnings management, hence mitigate agency problems. This mitigation is especially prevalent among well-capitalised and non-listed banks. Greater investor protection and government regulation appear to strengthen the negative association between dividend policy and earnings management. Our results hold robustly across many different specifications.

我们研究了 1996 年至 2019 年间 45 个发达国家和发展中国家个别银行的股利政策对盈利质量和机会主义盈利管理的影响。我们的估计结果表明,高股息支付会减少收益管理,从而缓解代理问题。这种缓解作用在资本充足的非上市银行中尤为明显。加强投资者保护和政府监管似乎加强了股利政策与盈利管理之间的负相关关系。我们的研究结果在许多不同的规范中都是稳健的。
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引用次数: 0
Behavioral risk profiling: Measuring loss aversion of individual investors 行为风险分析:衡量个人投资者的损失规避能力
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-16 DOI: 10.1016/j.jbankfin.2024.107293
Dennie van Dolder , Jurgen Vandenbroucke

Loss aversion has been shown to be a key driver of people's investment decisions. Encouraged by regulators, financial institutions are seeking ways to integrate this behavioral factor into client risk classifications. A critical obstacle is the lack of a valid measurement method for loss aversion that can be straightforwardly incorporated into existing processes. This paper reports on two large-scale implementations of such a method within the risk-profiling application of an established financial institution. We elicit loss aversion for 1,040 employees and 3,740 clients, observing distributions that align with existing findings. Importantly, our results demonstrate that loss aversion is largely independent of the risk-return preferences commonly used for investor classification. Furthermore, the correlations we observe between these two preferences and individuals’ background characteristics align with previous research: loss aversion is strongly correlated with education—higher educated individuals exhibit greater loss aversion—whereas risk aversion is related to gender, age, and financial status—women, older individuals, and those less financially secure are more risk averse. These findings support the conjecture that risk and loss aversion are complementary in capturing investor intent.

事实证明,损失规避是人们做出投资决策的关键驱动因素。在监管机构的鼓励下,金融机构正在寻求将这一行为因素纳入客户风险分类的方法。一个关键的障碍是缺乏可直接纳入现有流程的有效损失规避测量方法。本文报告了在一家老牌金融机构的风险归档应用中对这种方法的两次大规模实施。我们对 1,040 名员工和 3,740 名客户进行了损失规避分析,观察到的损失规避分布与现有研究结果一致。重要的是,我们的结果表明,损失规避在很大程度上与投资者分类中常用的风险收益偏好无关。此外,我们观察到的这两种偏好与个人背景特征之间的相关性也与之前的研究结果一致:损失规避与教育程度密切相关--教育程度较高的人表现出更高的损失规避程度;而风险规避则与性别、年龄和财务状况有关--女性、年龄较大的人和财务状况较差的人更倾向于规避风险。这些发现支持了风险规避和损失规避在捕捉投资者意图方面具有互补性的猜想。
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引用次数: 0
The timing of stock repurchases: Do well-connected CEOs help or harm? 股票回购的时机:人脉广的首席执行官是利还是弊?
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-12 DOI: 10.1016/j.jbankfin.2024.107288
Amedeo De Cesari , Nicoletta Marinelli , Rohit Sonika

Using a sample of daily repurchase transactions, we find that CEOs with extensive professional networks execute buybacks at higher prices relative to their less-connected peers. This finding survives a large battery of robustness tests and is unlikely to be the product of endogeneity biases. Monitoring by institutional investors, blockholders, and independent directors, as well as low levels of board busyness mitigate the detrimental effect of a well-connected CEO on repurchase timing. Moreover, better-connected CEOs are more associated with insider net sales around repurchase transactions. Overall, our evidence is consistent with CEO-shareholder agency conflict explanations and CEO power mechanisms.

通过对每日回购交易的抽样调查,我们发现拥有广泛职业网络的首席执行官的回购价格要高于人脉较少的同行。这一发现通过了大量的稳健性测试,不太可能是内生性偏差的结果。机构投资者、大股东和独立董事的监督以及董事会的低繁忙程度减轻了人脉广泛的首席执行官对回购时机的不利影响。此外,人脉更广的首席执行官与回购交易前后的内部人净销售额关联度更高。总体而言,我们的证据与首席执行官-股东代理冲突的解释和首席执行官的权力机制是一致的。
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引用次数: 0
The gender gap in the first deal: Equity split among founding teams 第一笔交易中的性别差距:创始团队的股权分配
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-10 DOI: 10.1016/j.jbankfin.2024.107272
Hidenori Takahashi , Yuji Honjo , Masatoshi Kato

We investigate the gender gap in equity splits among members of founding teams using proprietary survey data on Japanese startups. The results reveal that, on average, female founder chief executive officers (CEOs) own 12 percentage points less equity than male founder CEOs. The gender equity gap is more pronounced in founding teams in which the founder CEO is a woman and the other founding members are men. However, the results vary depending on the founding teams’ characteristics. Notably, the gender equity gap is observed only in teams with individuals belonging to older generations and in teams from regions (prefectures) with great gender inequality. The findings indicate that gender norms influence the gender equity gap.

我们利用日本初创企业的专有调查数据,研究了创始团队成员之间股权分配的性别差距。结果显示,女性创始人首席执行官(CEO)拥有的股权平均比男性创始人首席执行官少 12 个百分点。在创始人首席执行官为女性而其他创始成员为男性的创始团队中,性别股权差距更为明显。然而,创始团队的特点不同,结果也不同。值得注意的是,性别公平差距只出现在有老一代人的团队和来自性别不平等严重的地区(都道府县)的团队中。研究结果表明,性别规范影响着性别公平差距。
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引用次数: 0
Religiosity and financial distress of the young 宗教信仰与年轻人的财务困境
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-08 DOI: 10.1016/j.jbankfin.2024.107276
Lei Lei , Weijie Lu , Geng Niu , Yang Zhou

Financial distress is a prevalent issue among the youth. An influential stream of literature has argued that religion wields significant influence over human life. Using a representative sample of U.S. young people, we explore whether religiosity matters for financial distress. To deal with endogeneity issue, we exploit arguably exogeneous within-school variation in adolescents’ peers. By instrumenting an adolescent's own religiosity with the religiosity of their school peer group, we find that higher levels of religiosity causally and significantly reduce the likelihood of financial distress at young adulthood. Our results withstand a variety of robustness checks. To shed light on the mechanisms, we explore the impact of religiosity on an individual's sociability and various psychological attributes. We find that more religious individuals hold higher levels of self-control, a crucial attribute that aids in averting financial distress. Our study contributes to the literature by providing rigorous causal evidence that identifies religiosity as a meaningful predictor of reduced financial distress among young adults.

经济困难是青年中普遍存在的问题。许多有影响力的文献都认为,宗教对人类生活有着重大影响。我们利用具有代表性的美国青少年样本,探讨宗教信仰是否会影响财务困境。为了解决内生性问题,我们利用了青少年同龄人的校内差异。通过将青少年自身的宗教信仰与学校同伴群体的宗教信仰相联系,我们发现,较高的宗教信仰水平会显著降低青少年成年后陷入财务困境的可能性。我们的结果经得起各种稳健性检验。为了揭示其中的机制,我们探讨了宗教信仰对个人交际能力和各种心理属性的影响。我们发现,宗教信仰越虔诚的人自控力越强,而自控力是避免财务困境的关键属性。我们的研究提供了严谨的因果证据,证明宗教信仰可以有效预测年轻成年人财务困境的减少,从而为相关文献做出了贡献。
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引用次数: 0
Bank cost efficiency and credit market structure under a volatile exchange rate 汇率波动下的银行成本效率和信贷市场结构
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-08-08 DOI: 10.1016/j.jbankfin.2024.107285
Mikhail Mamonov , Christopher F. Parmeter , Artem B. Prokhorov

We study the impact of exchange rate volatility on cost efficiency and market structure in a cross-section of banks that have non-trivial exposures to foreign currency (FX) operations. We use unique data on quarterly revaluations of FX assets and liabilities (Revals) that Russian banks were reporting between 2004 Q1 and 2020 Q2. First, we document that Revals constitute the largest part of the banks’ total costs, 26.5% on average, with considerable variation across banks. Second, we find that stochastic estimates of cost efficiency are both severely downward biased – by 30% on average – and generally not rank preserving when Revals are ignored, except for the tails, as our nonparametric copulas reveal. To ensure generalizability to other emerging market economies, we suggest a two-stage approach that does not rely on Revals but is able to shrink the downward bias in cost efficiency estimates by two-thirds. Third, we show that Revals are triggered by the mismatch in the banks’ FX operations, which, in turn, is driven by household FX deposits and the instability of Ruble’s exchange rate. Fourth, we find that the failure to account for Revals leads to the erroneous conclusion that the credit market is inefficient, which is driven by the upper quartile of the banks’ distribution by total assets. Revals have considerable negative implications for financial stability which can be attenuated by the cross-border diversification of bank assets.

我们研究了汇率波动对银行成本效率和市场结构的影响。我们使用了俄罗斯银行在 2004 年第一季度至 2020 年第二季度期间报告的外汇资产和负债季度重估(Revals)的独特数据。首先,我们记录了重估价值占银行总成本的最大部分,平均为 26.5%,但各银行之间存在很大差异。其次,我们发现,正如我们的非参数共线方程所揭示的,当忽略 Revals 时,成本效率的随机估计值既存在严重的向下偏差(平均偏差 30%),而且除了尾部外,一般不存在等级保护。为确保对其他新兴市场经济体的普适性,我们提出了一种不依赖 Revals 的两阶段方法,但能将成本效率估计值的向下偏差缩小三分之二。第三,我们表明,Revals 是由银行外汇业务的不匹配引发的,而银行外汇业务的不匹配又是由家庭外汇存款和卢布汇率的不稳定性驱动的。第四,我们发现,如果不考虑Revals,就会得出信贷市场效率低下的错误结论,而这是由银行总资产分布的上四分位数驱动的。Revals 对金融稳定性有相当大的负面影响,而银行资产的跨境分散化可以减轻这种影响。
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引用次数: 0
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Journal of Banking & Finance
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