Journal of Banking & Finance最新文献

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Housing booms and local capital misallocation 房地产繁荣和地方资本配置不当

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-11-01 DOI: 10.1016/j.jbankfin.2025.107584

Yu Liu , Peng Zhao , Xiaoxue Zhao

How does a booming housing market crowd out credit access of firms and distort resource allocation in the real economy? This paper relies on a housing purchase restriction (HPR) policy in Chinese cities as a natural experiment and shows that an exogenous reduction in housing demand and a halt on housing price growth significantly improved local firms’ access to credit and lowered their financial costs. In addition, because the credit relaxation particularly affected firms that were ex ante more constrained, the policy significantly reduced cross-firm capital misallocation within treated cities and positively affected industrial productivity. We estimate that the HPR policy overall led to a 2% improvement in the total factor productivity (TFP) of Chinese industrial firms. We present empirical evidence to demonstrate that these real effects of a housing market decline can be rationalized by bank capital constraints and a significant crowding-out effect of households’ mortgage loans and credit to local governments, backed by local land sales revenue, on credit to firms.

繁荣的房地产市场是如何排挤企业的信贷渠道并扭曲实体经济中的资源配置的？本文以中国城市的住房限购政策作为自然实验，表明外生住房需求的减少和房价增长的停止显著改善了当地企业获得信贷的机会，降低了他们的财务成本。此外，由于信贷放松特别影响了先前受到更多约束的企业，该政策显著减少了受影响城市内企业间资本错配，并对工业生产率产生了积极影响。我们估计，HPR政策总体上使中国工业企业的全要素生产率（TFP）提高了2%。我们提出的经验证据表明，住房市场下滑的这些实际影响可以通过银行资本约束和家庭抵押贷款和地方政府信贷（以地方土地销售收入为支持）对企业信贷的显著挤出效应来合理化。

引用次数: 0

Uncertain Text and Price Reactions to Earnings Releases 不确定的文本和价格对收益发布的反应

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-11-01 DOI: 10.1016/j.jbankfin.2025.107580

Eunpyo Hong , Badrinath Kottimukkalur , Joonki Noh

We explore how the uncertain text in 10-K/Qs, a form of soft information, affects the stock price reactions to subsequent earnings releases that contain hard and quantitative information. We find that more uncertain language in 10-K/Qs leads to stronger immediate price reactions to earnings surprises but weaker post-earnings announcement drifts. Firms with higher text uncertainty in 10-K/Qs also attract greater institutional attention and more intense trading activity by sophisticated investors around earnings announcements. These findings suggest that firms using more uncertain language in regulatory filings have higher fundamental uncertainty and attract more attention from attention-constrained investors.

我们探讨了10-K/ q中的不确定文本（软信息的一种形式）如何影响股票价格对包含硬信息和定量信息的后续收益发布的反应。我们发现，10-K/ q中更多不确定的语言导致对收益意外的直接价格反应更强，但收益公告后的波动更弱。在10-K/ q中文本不确定性较高的公司也吸引了更多的机构关注，并在收益公告周围吸引了经验丰富的投资者更激烈的交易活动。这些发现表明，在监管文件中使用更多不确定语言的公司具有更高的基本不确定性，并吸引更多注意力有限的投资者的关注。

引用次数: 0

Crowded spaces and anomalies 拥挤的空间和异常

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-31 DOI: 10.1016/j.jbankfin.2025.107579

Ludwig Chincarini , Renato Lazo-Paz , Fabio Moneta

This paper investigates the relation between crowded trades, those in which many investors hold the same stocks possibly exhausting their liquidity provision, and future stock returns on a set of well-known stock market anomalies. We find that anomaly risk-adjusted returns are primarily generated by the most (least) crowded stocks for the long-leg (short-leg) portfolio. Moreover, we find that our results remain significant after publication dates. We hypothesize that crowded equity positions in anomaly stocks increase institutional investors’ exposure to crash risk. Our findings are consistent with this hypothesis and suggest that crowding adds a new consideration to the limits of arbitrage.

本文研究了在一组众所周知的股票市场异常情况下，众多投资者持有同一只股票可能耗尽其流动性供应的拥挤交易与未来股票收益之间的关系。我们发现，风险调整后的异常收益主要是由长腿（短腿）投资组合中最（最少）拥挤的股票产生的。此外，我们发现我们的结果在发表日期之后仍然显着。我们假设在异常股票中拥挤的股票头寸增加了机构投资者对崩溃风险的暴露。我们的研究结果与这一假设一致，并表明拥挤增加了对套利限制的新考虑。

引用次数: 0

Time-varying repayment contracts for financial resilience in mortgage lending 抵押贷款金融弹性的时变还款合同

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-24 DOI: 10.1016/j.jbankfin.2025.107583

Chung Mai , Harald Scheule

This paper develops time-varying repayment mortgage contract designs based on borrower income expectations and risk profiles over loan age. These contract designs differ between loans and are based on growing annuities. We benchmark these contracts to the traditional 30-year fixed-rate mortgage contracts. The proposed contract innovations reduce illiquidity but increase leverage due to payment delays. The combined effects reduce the probability of default, systematic risk, and regulatory capital. Due to the risk reduction, lenders can increase the gross return on regulatory capital by 10 %, or alternatively, borrowers may benefit from credit spreads that are 17 basis points lower. Overall, our contracts enhance the resilience of mortgage markets.

G01; G20; G21; C51; C55

本文基于借款人的收入预期和贷款年龄的风险特征，开发了时变还款抵押合同设计。这些合同设计因贷款而异，并基于不断增长的年金。我们以传统的30年期固定利率抵押贷款合同为基准。拟议的合同创新减少了流动性不足，但增加了由于付款延迟造成的杠杆。综合效应降低了违约概率、系统性风险和监管资本。由于风险降低，贷款人可以将监管资本的总回报率提高10%，或者，借款人可以从信贷息差降低17个基点中受益。总体而言，我们的合同增强了抵押贷款市场的弹性。20国集团(G20);G21;C51单片机;C55

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Stakeholder-centric corporate misconduct and financing policies: A precautionary tale 以利益相关者为中心的企业不当行为和融资政策：一个预防性的故事

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-21 DOI: 10.1016/j.jbankfin.2025.107582

Najah Attig , Sadok El Ghoul , Ashrafee Hossain

We investigate how stakeholder-centric corporate misconduct (CM) influences firms’ financing policies. CM is associated with higher cash holdings and lower dividend payouts and debt financing. These effects are more pronounced in firms with stronger governance. We further show that higher cash holdings in CM firms are associated with greater firm value and a lower implied cost of capital. Firms that replace their CEOs following CM adopt more conservative financing policies. Taken together, our evidence supports the precautionary motive for cash holdings, indicating that such reserves are unlikely to result from agency conflicts or increased managerial discretion in CM firms.

我们研究了以利益相关者为中心的企业不当行为（CM）如何影响企业的融资政策。CM与较高的现金持有量和较低的股息支付和债务融资有关。这些影响在治理更强的公司中更为明显。我们进一步表明，资本管理公司中较高的现金持有量与较高的公司价值和较低的隐含资本成本相关。在CM制度下更换ceo的公司采用更为保守的融资政策。综上所述，我们的证据支持现金持有的预防性动机，表明这种储备不太可能源于代理冲突或CM公司管理自由裁量权的增加。

引用次数: 0

Nudging a second after 一秒钟后轻推

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-20 DOI: 10.1016/j.jbankfin.2025.107581

Kadir Atalay , Hanlin Lou , Robert Slonim

This paper studies a novel method to help people make better decisions by providing information immediately after customers make a costly transaction. We examine an intervention by a major financial institution in Australia, where credit card customers in a treatment group received a text message immediately after each high-cost transaction. The notification informed them that the transaction resulted in an additional fee and that a higher interest rate would apply immediately. This immediate ex-post information nudge reduces the number of subsequent high-cost transactions by 6 % and increases the likelihood of making a repayment on the day they were nudged by 5 %. This evidence is consistent with the ex-post information campaign increasing awareness among customers about the fees and higher interest rate which subsequently caused them to adjust their credit card usage to save money. More generally, this evidence provides a novel method to help people make better decisions by nudging immediately after rather than before an event.

本文研究了一种新颖的方法，通过在客户进行昂贵的交易后立即提供信息来帮助人们做出更好的决策。我们研究了澳大利亚一家主要金融机构的干预措施，其中治疗组的信用卡客户在每次高成本交易后立即收到一条短信。通知告诉他们，这笔交易会产生额外的费用，并且会立即适用更高的利率。这种即时的事后信息推动使随后的高成本交易数量减少了6%，并使他们在被推动的当天还款的可能性增加了5%。这一证据与事后宣传活动相一致，该活动提高了客户对费用和更高利率的认识，随后导致他们调整信用卡使用以节省资金。更一般地说，这一证据提供了一种新的方法，通过在事件发生后立即推动而不是在事件发生前推动，帮助人们做出更好的决定。

引用次数: 0

Folklore narratives and IPO outcomes 民间传说叙述与IPO结果

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-10-17 DOI: 10.1016/j.jbankfin.2025.107578

Huu Nhan Duong , Abhinav Goyal , S. Ghon Rhee

Our primary contribution to the finance literature is the introduction of folklore narratives as a major factor in influencing corporate outcomes. Using the initial public offering (IPO) underpricing as the main focus, we demonstrate that folklore narratives depicting lower tolerance toward antisocial behavior are associated with lower IPO underpricing. The relation between folklore narratives and IPO pricing is independent of indicators of trust, religion, culture, societal preferences, or institutional democracy. This relation is weaker in countries with a more transparent information environment and following reforms that improve disclosure and corporate governance. Folklore narratives on punishment for antisocial behavior are also related to enhanced information disclosure, lower agency problems, better long-term performance for IPO firms, higher proceeds raised and free float, and overall IPO activity in the market. Collectively, we show that informal institutions, such as folklore narratives, exert a strong influence on IPO outcomes globally.

我们对金融文献的主要贡献是引入民间传说叙事作为影响公司成果的主要因素。以首次公开募股（IPO）的低定价为主要焦点，我们证明了民间传说中对反社会行为的容忍度较低与IPO低定价有关。民间传说与IPO定价之间的关系独立于信任、宗教、文化、社会偏好或制度民主等指标。在信息环境更加透明、信息披露和公司治理得到改善的国家，这种关系较弱。民间传说对反社会行为的惩罚也与信息披露的加强、代理问题的降低、IPO公司长期业绩的改善、募集资金和流通股的增加以及IPO市场的整体活跃度有关。总体而言，我们表明，民间传说叙事等非正式制度对全球IPO结果产生了强烈影响。

引用次数: 0

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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