Journal of Banking & Finance最新文献

英文中文

Investor disagreement and state-dependent mispricing: New evidence on the analyst dispersion anomaly 投资者分歧和国家依赖的错误定价：关于分析师分散异常的新证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-16 DOI: 10.1016/j.jbankfin.2025.107577

Zhiwei Xu, Yinan Yang, Teng Zhang

This study provides strong evidence that the analyst dispersion anomaly (i.e., higher analyst forecast dispersion predicting lower future returns) exhibits a state-dependent pattern: the negative dispersion-return relation is evident only among stocks with high investor optimism but attenuates or even reverses among stocks with high investor pessimism. Reduced investor risk aversion and binding short-sale constraints amplify the anomaly under the condition of high investor optimism. These findings together align with Atmaz and Basak’s (2018) theory that disagreement combined with expectation biases causes mispricing. Alternative mechanisms, including managerial strategic disclosure, intertemporal hedging demand, credit risk, and analyst self-censorship,fail to subsume this conditional pattern. We also show that several other well-known measures of disagreement exhibit a similar state-dependent property. Overall, this study provides novel insights into the mechanisms driving the dispersion anomaly.

本研究提供了强有力的证据，表明分析师的分散度异常（即较高的分析师预测分散度预测较低的未来收益）呈现出一种状态依赖模式：负的分散度-收益关系仅在投资者高度乐观的股票中明显，而在投资者高度悲观的股票中减弱甚至逆转。在投资者高度乐观的情况下，投资者风险厌恶程度的降低和约束性卖空约束放大了这种异常。这些发现与Atmaz和Basak（2018）的理论一致，即分歧与预期偏差相结合会导致定价错误。其他机制，包括管理层战略披露、跨期对冲需求、信用风险和分析师自我审查，都不能包含这种条件模式。我们还表明，其他几个著名的分歧度量也表现出类似的状态依赖属性。总的来说，这项研究为驱动色散异常的机制提供了新的见解。

引用次数: 0

Does FinTech reduce human biases? Evidence from advisory vs. automated FinTechs in lending 金融科技能减少人类的偏见吗？咨询与自动化金融科技在贷款中的对比证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-11 DOI: 10.1016/j.jbankfin.2025.107557

Yanting Chen , Yingwei Dong , Jiayin Hu , Yiping Huang

We investigate whether FinTech can mitigate human biases in lending decisions using proprietary loan-level data from a Chinese auto equity lender. The lender first integrated big data credit scoring as an advisory tool to enhance its traditional lending model, subsequently transitioning to algorithmic decision-making with optional human override. Our findings reveal that cognitive biases decrease significantly when loan officers use algorithmic lending decisions, substantially reducing disparities in loan-to-value ratios between local and nonlocal borrowers without exacerbating default differentials. Notably, the discretionary adjustments made by loan officers remain modest. In contrast, advisory credit scores alone exhibit no discernible bias-reducing effects. Our study is among the first to demonstrate that automation and choice architecture – specifically, nudging via algorithmic defaults – is more effective than mere information provision in combating discrimination and promoting financial inclusion.

我们使用一家中国汽车股权贷款机构的专有贷款水平数据，研究金融科技是否可以减轻人类在贷款决策中的偏见。该银行首先将大数据信用评分作为一种咨询工具，以增强其传统的贷款模式，随后过渡到算法决策，并可选择人工控制。我们的研究结果表明，当信贷员使用算法贷款决策时，认知偏差显著减少，大大减少了本地和非本地借款人之间贷款与价值比率的差异，而不会加剧违约差异。值得注意的是，信贷员的酌情调整幅度仍然不大。相比之下，咨询信用评分本身并没有显示出明显的减少偏见的效果。我们的研究是第一批证明自动化和选择架构——特别是通过算法默认推动——在打击歧视和促进金融包容性方面比仅仅提供信息更有效的研究之一。

引用次数: 0

4/2 rough and smooth 4/2粗糙光滑

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-10 DOI: 10.1016/j.jbankfin.2025.107560

Tingjin Yan , Jie Yin , Ling Wang , Hoi Ying Wong

We propose a novel

4 / 2

rough and smooth stochastic volatility model by combining the rough Heston (rough

1 / 2

) and smooth

3 / 2

models through a convex specification. This parsimonious two-factor model admits semi-closed-form pricing formulas for equity and volatility index (VIX) derivatives, while capturing key stylized facts documented in empirical studies. The model flexibly generates elasticity of variance estimates consistent with empirical findings from equity markets and produces realistic variance distributions. Although the rough

1 / 2

component carries a small weight, our numerical experiments confirm a degree of roughness comparable with that obtained with the rough Heston model. Empirical analysis using S&P 500 and VIX option data shows that the model outperforms benchmark specifications both in- and out-of-sample. We further provide insights into how rough volatility modeling influences the estimation of risk-neutral return moments and variance risk premia.

通过凸规范将粗糙Heston （rough 1/2）和光滑3/2模型相结合，提出了一种新的4/2粗糙和光滑随机波动模型。这个简洁的双因素模型承认股票和波动率指数（VIX）衍生品的半封闭式定价公式，同时捕获了实证研究中记录的关键风格化事实。该模型灵活地产生了与股票市场实证结果一致的方差估计弹性，并产生了真实的方差分布。虽然粗糙1/2分量的重量很小，但我们的数值实验证实了与粗糙赫斯顿模型获得的粗糙度相当的程度。使用标准普尔500指数和VIX期权数据的实证分析表明，该模型在样本内和样本外都优于基准规范。我们进一步提供了关于粗糙波动率建模如何影响风险中性收益时刻和方差风险溢价的估计的见解。

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引用次数: 0

Does broadband infrastructure promote households’ welfare in wealth management? Evidence from the construction of cell towers and the purchase of Yu’E Bao in China 宽带基础设施是否促进了家庭财富管理的福利？在中国建设手机信号塔和收购余额宝就是证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-10 DOI: 10.1016/j.jbankfin.2025.107576

Jiapin Deng , Xiaoxia Li , Yanchu Liu

Marshalling a large and novel dataset of cell towers and using the purchase of Yu’E Bao as a proxy for Chinese households’ investment in money market funds, this paper investigates how broadband infrastructure affects the welfare of households in wealth management. We find that with the improvement in broadband infrastructure, Internet service becomes more available to households and they tend to convert bank deposits with suppressed rates of interest into money market funds that provide less regulated and hence higher rates of return. Further analyses show that the effect of broadband infrastructure on the conversion of bank deposits into money market funds is more pronounced in counties with lower density of bank branches and among less educated people. Our empirical findings suggest that by alleviating the policy distortions imposed on the traditional banking sector, online financial products and service are powerful tools in the promotion of financial inclusion.

本文整理了一个庞大而新颖的手机信号塔数据集，并使用余额宝的购买作为中国家庭对货币市场基金投资的代理，研究了宽带基础设施如何影响家庭财富管理的福利。我们发现，随着宽带基础设施的改善，互联网服务对家庭来说变得更容易获得，他们倾向于将利率受到抑制的银行存款转换为货币市场基金，货币市场基金提供的监管较少，因此回报率更高。进一步的分析表明，宽带基础设施对银行存款转化为货币市场基金的影响，在银行分支机构密度较低的县和受教育程度较低的人群中更为明显。我们的实证研究结果表明，通过减轻传统银行业的政策扭曲，在线金融产品和服务是促进普惠金融的有力工具。

引用次数: 0

Trend factors around the world: Performance and determinants 全球趋势因素：表现和决定因素

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-10 DOI: 10.1016/j.jbankfin.2025.107552

Yufeng Han , Xi Nancy Mo , Jian Yang

This study investigates the performance of trend factors across different markets around the world and demonstrates that the trend factors perform well across most of developed markets and many emerging markets, outperforming the market portfolio, short-term reversal, momentum, and long-term reversal. We further examine how cultural and legal differences influence the performance of the trend factor trading strategy and find it is more profitable in countries where the individualism is higher and securities laws are better enforced. Finally, the global trend factor aggregating individual market trend factors performs well and explains various global portfolios’ returns. The findings suggest that the trend factors present a challenge to traditional risk-based asset pricing theories, and trend factor trading strategies may deserve more attention in international portfolio management.

本研究调查了趋势因素在全球不同市场中的表现，并证明趋势因素在大多数发达市场和许多新兴市场中表现良好，表现优于市场组合、短期反转、动量和长期反转。我们进一步研究了文化和法律差异如何影响趋势因素交易策略的表现，并发现在个人主义较高且证券法执行较好的国家，趋势因素交易策略更有利可图。最后，汇总各个市场趋势因子的全球趋势因子表现良好，并解释了各种全球投资组合的回报。研究结果表明，趋势因素对传统的基于风险的资产定价理论提出了挑战，趋势因素交易策略在国际投资组合管理中值得关注。

引用次数: 0

Why do firms repurchase their shares when they are overpriced? 为什么公司会在股价过高时回购股票？

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-10 DOI: 10.1016/j.jbankfin.2025.107568

Jacob Oded

Firms are commonly assumed to engage in repurchase programs in order to take advantage of mispricing and buy their shares when they are underpriced. However, recent empirical evidence indicates these programs are often executed when shares are overpriced. We characterize the situations in which repurchase of overpriced shares is likely to occur and show it can actually be value enhancing. In the model, informed insiders trade-off private benefits from free cash waste against common benefits from waste prevention. Since private benefits from waste are negatively related to governance quality, our findings highlight the importance of having good governance in place when boards approve repurchase programs.

公司通常被认为参与回购计划是为了利用错误定价，并在股价被低估时购买股票。然而，最近的经验证据表明，这些计划往往在股价过高时执行。我们描述了回购定价过高的股票可能发生的情况，并表明它实际上可以提高价值。在该模型中，知情的内部人士权衡了自由现金浪费带来的个人利益与防止浪费带来的共同利益。由于浪费带来的私人利益与治理质量呈负相关，我们的研究结果强调了董事会批准回购计划时实施良好治理的重要性。

引用次数: 0

A revisit to the IPO spillover effect: On the importance of technological proximity 重新审视IPO溢出效应：论技术接近性的重要性

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-09 DOI: 10.1016/j.jbankfin.2025.107563

Christine Jiang , Yiyin Wu , John Qi Zhu

An initial public offering (IPO) can have diverse impacts on incumbent firms. We identify a valuation channel using a pairwise measure of technological proximity between the new entrant and incumbent firms. By analyzing the patent data of firms listed on the Shanghai Stock Exchange’s STAR Board, we find a significant increase in the valuation of the incumbent firm when its patent portfolio exhibits a higher degree of similarity to the IPO firm. This positive spillover effect differs from other well-documented peer effects of IPO shocks, suggesting a novel mechanism that operates through technological linkages, particularly among technology-intensive firms.

首次公开募股（IPO）可以对现有公司产生多种影响。我们使用新进入者和现有公司之间的技术接近度的成对测量来确定估值渠道。通过分析上海证券交易所创业板上市公司的专利数据，我们发现，当现有公司的专利组合与IPO公司的相似度较高时，其估值显著增加。这种积极的溢出效应不同于其他有充分记录的IPO冲击的对等效应，表明存在一种通过技术联系（尤其是在技术密集型公司之间）运作的新机制。

引用次数: 0

Cyber insurance valuation with endogenous cyber loss 基于内生网络损失的网络保险估值

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-09 DOI: 10.1016/j.jbankfin.2025.107564

Chang-Chih Chen , Chia-Chien Chang , Ying Rui , Min-Teh Yu

This research proposes a novel firm-based model for pricing cyber insurance. Our model considers two types of cyber risk: virus attacks and data breaches. Virus attacks deliver adverse shocks to the firm’s productivity, while data breaches cause premium customer departures that worsen the prospect of the firm’s product demand. We derive the endogenous structural form of cyber losses in firms and utilize it to solve the formula for cyber insurance premiums. Our quantitative results show that the consensus prediction about a strictly positive premium-risk nexus is no longer valid. Asymmetries in the sub-premium’s sensitivity to cyber risks from different sources and the premium customer loss rates jointly shape the complexity of the relation between cyber insurance premiums and cyber risks. Improvements in the product demand conditions enhance firms’ incentives to hedge cyber losses and push premiums higher. Lastly, we discuss the influence of product price competition on premiums.

本研究提出了一种新的基于企业的网络保险定价模型。我们的模型考虑了两种网络风险：病毒攻击和数据泄露。病毒攻击会对公司的生产力造成不利冲击，而数据泄露会导致优质客户流失，从而恶化公司产品需求的前景。我们推导了企业网络损失的内生结构形式，并利用它来求解网络保险费的计算公式。我们的定量结果表明，关于严格正的溢价-风险关系的共识预测不再有效。子保费对不同来源网络风险敏感性的不对称性和保费客户损失率的不对称性共同决定了网络保险保费与网络风险关系的复杂性。产品需求状况的改善增强了企业对冲网络损失的动机，并推高了保费。最后，讨论了产品价格竞争对保费的影响。

引用次数: 0

Credit standards and corporate loan default. Insights for macroprudential policy 信用标准和企业贷款违约。宏观审慎政策的见解

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-09 DOI: 10.1016/j.jbankfin.2025.107566

Luis Fernández Lafuerza, Jorge E. Galán

We provide compelling evidence of the association between credit standards at loan origination in the corporate sector and default risk. While this relationship has been extensively studied in the mortgage market, it remains underexplored in corporate lending. Using a comprehensive dataset from the Spanish credit register merged with firm-level balance sheet information over a full financial cycle, we show that debt-to-assets and interest coverage ratios at loan origination are significant predictors of future corporate loan defaults. The strength of this association varies across the financial cycle, sectors, firm size and age, and prior banking relationships. Real estate firms and small and medium-sized enterprises exhibit the strongest link between initial credit conditions and future default outcomes. Our findings suggest that limits in corporate credit standards, similar to those widely used in mortgage markets, could enhance firms’ resilience to adverse shocks and complement capital-based instruments within the macroprudential toolkit. However, the effectiveness and potential side effects of such measures depend critically on firm-specific characteristics and sectoral heterogeneity, underscoring the need for a targeted and flexible policy design.

我们提供了令人信服的证据，证明企业部门贷款发放时的信用标准与违约风险之间存在关联。虽然这种关系在抵押贷款市场上得到了广泛的研究，但在企业贷款领域仍未得到充分探讨。利用西班牙信用登记的综合数据集，结合整个金融周期内企业层面的资产负债表信息，我们表明，贷款发起时的资产负债率和利息覆盖率是未来企业贷款违约的重要预测指标。这种联系的强度因金融周期、行业、公司规模和年龄以及之前的银行关系而异。房地产公司和中小企业在初始信贷条件和未来违约结果之间表现出最强的联系。我们的研究结果表明，企业信贷标准的限制，类似于抵押贷款市场广泛使用的限制，可以增强企业对不利冲击的抵御能力，并补充宏观审慎工具包中的资本基础工具。但是，这些措施的效力和潜在的副作用主要取决于具体公司的特点和部门的不均匀性，因此需要有针对性和灵活的政策设计。

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引用次数: 0

All Days Are Not Created Equal: Understanding Momentum by Learning to Weight Past Returns 并非所有日子都是平等的：通过学习衡量过去的回报来理解势头

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-07 DOI: 10.1016/j.jbankfin.2025.107565

Heiner Beckmeyer, Timo Wiedemann

By flexibly weighting the information contained in past realized returns, we construct a momentum strategy that outperforms and subsumes the performance of traditional stock momentum. The strategy performs well in crises and continues to work in the most recent decades. We show that the way past returns are weighted is in line with the strategy exploiting an underreaction to the information contained in realized returns, but also investigate alternative behavioral and risk-based explanations. We find that the response to earnings announcements, market-wide jumps and large individual returns realized in the formation period are most informative about future stock returns.

通过灵活地加权过去已实现收益中包含的信息，我们构建了一个超越并包含传统股票动量表现的动量策略。这一战略在危机中表现良好，并在最近几十年继续发挥作用。我们表明，过去收益的加权方式符合利用对已实现收益中包含的信息的反应不足的策略，但也研究了其他行为和基于风险的解释。我们发现，对收益公告的反应，市场范围的跳跃和在形成期内实现的巨大个人回报是未来股票回报的最重要信息。

引用次数: 0

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