Journal of Banking & Finance最新文献

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Unencumbered by style: Why do funds change factor loadings, and does it help? 不受风格影响：为什么基金会改变因子负载，这有帮助吗？

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-09-19 DOI: 10.1016/j.jbankfin.2025.107544

Ting Bai , Jens Hilscher , Anna Scherbina

We show that, rather than maintaining a constant style, active equity funds alter their factor loadings over time. Style changes are larger following quarters in which funds either substantially under- or out-perform other funds based on returns or fund flows, which is explained by managers both not correcting the resulting passive style drift and deliberately reallocating a portion of the portfolio. Motivated by this observation, we identify a new measure of manager skill, which we call “tactical investment skill.” It captures a manager’s ex-ante observable ability to increase future returns through loadings changes. We show that high-skill managers outperform their low-skill peers in the following month in terms of raw returns and alphas. This outperformance is more pronounced following quarters with large loadings changes.

我们的研究表明，主动股票基金并没有保持不变的风格，而是随着时间的推移改变了它们的因素负荷。在基金根据回报或资金流大幅低于或超过其他基金的季度之后，风格变化会更大，这可以解释为，基金经理既没有纠正由此产生的被动风格漂移，也没有故意重新配置一部分投资组合。在这种观察的激励下，我们确定了一种新的衡量经理技能的方法，我们称之为“战术投资技能”。它捕捉了管理者通过负荷变化增加未来回报的事前可观察能力。我们发现，在接下来的一个月里，高技能经理人在原始回报和阿尔法指数方面的表现优于低技能经理人。在负载变化较大的季度之后，这种优异表现更加明显。

引用次数: 0

The stock market impact of volatility hedging: Evidence from end-of-day trading by VIX ETPs 波动率套期保值对股市的影响：来自波动率指数交易所交易产品日末交易的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-09-17 DOI: 10.1016/j.jbankfin.2025.107556

Christine Bangsgaard, Thomas Kokholm

VIX futures market makers can hedge their volatility exposure by trading SPX options and futures. We use the daily VIX futures demand by VIX ETP issuers as an estimate of the end-of-day shock to market makers’ net position and find that the demand impacts the SPX futures market in the direction consistent with the VIX futures hedging channel. The VIX ETP demand is a strong predictor of the end-of-day SPX futures return in-sample and out-of-sample. We find evidence of a subsequent reversal, suggesting that VIX futures hedging activities can move the SPX futures market for reasons unrelated to price discovery.

波动率指数期货做市商可以通过交易标准普尔指数期权和期货来对冲其波动率敞口。我们使用VIX ETP发行者的每日VIX期货需求作为对做市商净头寸的日末冲击的估计，发现需求在与VIX期货对冲通道一致的方向上影响SPX期货市场。波动率指数ETP的需求是一个强有力的预测收盘标准普尔指数期货回报样本内和样本外。我们发现了随后反转的证据，表明VIX期货对冲活动可以由于与价格发现无关的原因移动标准普尔指数期货市场。

引用次数: 0

Option price asymmetry, speculation and stock short-sale cost 期权价格不对称，投机和股票卖空成本

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-09-16 DOI: 10.1016/j.jbankfin.2025.107539

Jiantao Ma , Yuanyi Zhang

We introduce implied variance asymmetry (

I V A

) — the weighted difference between out-of-the-money call and put option prices — as a predictor of cross-sectional option returns. We find that

I V A

negatively predicts future delta-hedged call returns and positively predicts future delta-hedged put returns. These predictive relationships reflect distinct investor behaviors: retail investors drive the overpricing of high-

I V A

call options through speculative demand, whereas informed short-sellers bid up prices of low-

I V A

puts as substitutes for constrained stock short-selling. Furthermore, stocks and put options characterized by low

I V A

and high short-sale costs experience significantly lower subsequent excess returns. This pattern suggests that low-

I V A

put buyers pay a premium and they correctly anticipate future stock price declines. In contrast, high-

I V A

call options exhibit temporary mispricing driven by uninformed speculation, which rapidly reverses.

我们引入隐含方差不对称（IVA）——价外看涨期权和看跌期权价格之间的加权差值——作为横断面期权收益的预测因子。我们发现IVA负向预测未来delta对冲看涨期权的收益，正向预测未来delta对冲看跌期权的收益。这些预测关系反映了不同的投资者行为：散户投资者通过投机需求推动高iva看涨期权的定价过高，而知情的卖空者则推高低iva看跌期权的价格，作为受限股票卖空的替代品。此外，以低IVA和高卖空成本为特征的股票和看跌期权的后续超额收益明显较低。这种模式表明，低iva看跌期权的买家支付了溢价，他们正确地预测了未来股价的下跌。相比之下，高iva看涨期权在不知情的投机行为的驱动下表现出暂时的错误定价，这种错误定价会迅速逆转。

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引用次数: 0

Variation in the value of active share across regions of investments: Evidence from global equity funds 投资区域内活跃份额价值的变化：来自全球股票基金的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-09-01 DOI: 10.1016/j.jbankfin.2025.107545

Markus Broman , Jon Fulkerson

Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.

使用3250个全球股票基金的全球样本，我们提供了积极份额作为强大回报预测因子的样本外证据。然而，全球基金在地区内的活跃份额预示着欧洲和亚太地区的表现会更好，但在美国则不然。我们通过显示高度活跃的全球基金经理（无论是在美国还是其他地方）在美国和国际市场上的表现都优于大盘，从而调和了这一差异。仅在美国，活跃股的低回报可预测性就源于国内的异常现象，并不能推广到全球市场。

引用次数: 0

Is the more the merrier? Buyers’ onsite viewing activities and housing search outcomes 人越多越好吗？买家的现场观看活动和房屋搜索结果

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-08-29 DOI: 10.1016/j.jbankfin.2025.107543

Maggie Rong Hu , Weida Kuang , Xiaoyang Li , Yang Shi

This study investigates the underexplored role of onsite viewing activities in the housing search process. By incorporating buyer heterogeneity into the housing search model of Courant (1978), we show that buyers with higher private valuations tend to view more properties onsite and ultimately pay higher prices. Utilising a proprietary dataset from the largest real estate agency in Beijing, our analysis reveals that increased onsite viewings significantly enhance both the likelihood of a transaction and the final purchase price. We establish causality by employing an instrumental variable approach that leverages exogenous variations in heavy pollution and rainfall, which hinder buyers’ ability to conduct onsite house viewings. More intensive onsite viewings raise transaction price as they reveal a buyer’s higher private valuation to the seller. Besides, onsite viewings also function through reducing information asymmetry and improving match quality.

本研究探讨了现场观景活动在房屋搜寻过程中未被充分发掘的作用。通过将买家异质性纳入Courant（1978）的住房搜索模型，我们发现私人估值较高的买家倾向于在现场查看更多房产，并最终支付更高的价格。利用北京最大的房地产中介的专有数据集，我们的分析表明，现场观看次数的增加大大提高了交易的可能性和最终购买价格。我们通过使用工具变量方法来建立因果关系，该方法利用了重污染和降雨的外生变化，这些变化阻碍了买家进行现场看房的能力。更密集的现场查看会提高交易价格，因为它们向卖家透露了买家更高的私人估值。此外，现场观看还可以减少信息不对称，提高比赛质量。

引用次数: 0

Assessing the bank lending channel of macroprudential policy: Evidence from the loan-to-deposit ratio regulation in Korea 宏观审慎政策对银行借贷渠道的评估：来自韩国存贷比监管的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-08-26 DOI: 10.1016/j.jbankfin.2025.107541

JaeBin Ahn , Youngju Kim , Hyunjoon Lim

This paper studies the impact of the loan-to-deposit (LTD) ratio regulation – a specific macroprudential policy instrument introduced in Korea – on bank-level lending supply and the subsequent firm-level real consequences. The bank-firm-level matched loan data reveals that small and medium enterprises (SMEs) were particularly hit by adverse lending supply shocks from banks with higher pre-regulation LTD ratios. However, they were compensated by new loans extended by banks with lower pre-regulation LTD ratios as well as unregulated non-bank financial institutions (NBFIs). After all, the regulation did not result in adverse consequences on firm-level net credit or real performance, possibly at the cost of rising corporate loans extended by the shadow banking system.

本文研究了存贷比监管（韩国引入的一种特定宏观审慎政策工具）对银行层面贷款供应的影响以及随后在企业层面产生的实际后果。银行-公司层面的匹配贷款数据显示，中小企业（SMEs）尤其受到监管前有限责任公司比率较高的银行的不利贷款供应冲击的打击。然而，它们得到了监管前有限责任公司比率较低的银行以及不受监管的非银行金融机构（nbfi）提供的新贷款的补偿。毕竟，监管并未对企业层面的净信贷或实际业绩造成不利影响，其代价可能是影子银行体系发放的企业贷款不断增加。

引用次数: 0

A new leadership share measure for price discovery 一个新的领导份额的价格发现措施

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-08-26 DOI: 10.1016/j.jbankfin.2025.107527

Donald Lien , Brian Roseman , Yanlin Shi

We propose a new measure of price discovery, New Leadership Share (NLS), that attributes permanent information flow to individual markets using a uniquely identified structural moving average model. NLS quantifies each market’s contribution to permanent price innovations as a proportion of total informational leadership and offers key technical advantages, including uniqueness and adherence to standard statistical asymptotics. We derive closed-form solutions and analytical standard errors for bivariate markets and provide a framework that extends naturally to multiple markets without the variable ordering problem. Simulation results show that NLS consistently outperforms three widely used benchmarks. Empirical analysis of 2023 data finds that exchange-traded funds and front-month futures markets share equal leadership relative to the S&P 500 spot index.

我们提出了一种新的价格发现度量，新领导份额（NLS），它使用一个唯一确定的结构移动平均模型将永久信息流归因于单个市场。NLS将每个市场对永久性价格创新的贡献量化为总信息领导的比例，并提供关键的技术优势，包括唯一性和对标准统计渐近性的遵守。我们推导了二元市场的封闭解和分析标准误差，并提供了一个框架，可以自然地扩展到没有变量排序问题的多个市场。仿真结果表明，NLS始终优于三种广泛使用的基准测试。对2023年数据的实证分析发现，相对于标准普尔500 （s&p 500）现货指数，交易所交易基金（etf）和近月期货市场同样处于领先地位。

引用次数: 0

Media tone is a priced risk factor in currency markets 媒体语气是外汇市场的一个定价风险因素

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-08-22 DOI: 10.1016/j.jbankfin.2025.107542

Heikki Lehkonen , Kari Heimonen , Kuntara Pukthuanthong

Media tone constructed from 7000,000 articles from 2000 global media and 800 social media sites is found to be a genuine risk factor that cross-sectionally prices currencies. It can predict excess US dollar returns for up to six months and surpasses the no-change benchmark in predicting returns out of sample. Its predicted value contains information beyond those predicted by currency factors and business cycles. Evidence corroborates with the theory that Media tone increases investment returns, has pronounced predictive power for the currencies associated with hard-to-value characteristics, and that its predictive power increases with the number of news sources. Trading of rational investors, including banks, is associated with Media tone.

从2000家全球媒体和800家社交媒体网站的70万篇文章中构建的媒体基调被发现是一个真正的风险因素，可以对货币进行横截面定价。它可以预测长达6个月的超额美元回报，并且在预测样本外回报方面超过无变化基准。其预测值包含了超出货币因素和商业周期预测的信息。证据证实了媒体基调增加投资回报的理论，对与难以估值特征相关的货币具有明显的预测能力，并且其预测能力随着新闻来源的数量而增加。包括银行在内的理性投资者的交易与媒体的语气有关。

引用次数: 0

Wash trading and insider sales in NFT markets NFT市场的内幕交易和内幕交易

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-08-22 DOI: 10.1016/j.jbankfin.2025.107529

Shirui Wang , Nieyan Cheng , Tianyang Zhang

With the recent evolution of the cryptocurrency market, financial misconduct has become a major concern. Using on-chain data from the 500 most traded NFT (non-fungible token) collections, this study investigates wash trading in NFT markets. We first detect suspicious wash trades that form closed loops and then validate the prices of these trades using Benford’s Law. Excluding token-incentivized wash trades, we propose a conceptual model and argue that collusion between wash traders and insiders is the primary motivation of wash trading. Empirical analysis reveals that insiders tend to sell during or shortly after wash trading. This manipulation creates a pump-and-dump effect, causing losses for buyers during the pump phase. Our research reveals the underlying mechanisms of such misconduct and highlights the need for regulation in the cryptocurrency market.

随着加密货币市场的发展，金融不端行为已成为一个主要问题。使用来自500个交易最多的NFT（不可替代代币）集合的链上数据，本研究调查了NFT市场的洗涤交易。我们首先检测形成闭环的可疑洗仓交易，然后使用本福德定律验证这些交易的价格。排除代币激励的洗盘交易，我们提出了一个概念模型，并认为洗盘交易者和内部人士之间的勾结是洗盘交易的主要动机。实证分析显示，内幕人士倾向于在洗仓交易期间或之后不久卖出。这种操纵创造了一种泵和转储效应，在泵阶段给买家造成损失。我们的研究揭示了这种不当行为的潜在机制，并强调了对加密货币市场进行监管的必要性。

引用次数: 0

The inevitable disclosure doctrine: A facade or a curse in the CEO labor market 不可避免的披露原则：CEO劳动力市场的假象还是诅咒

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-08-20 DOI: 10.1016/j.jbankfin.2025.107540

Hung-Gay Fung , Tongxia Li , Chun Lu , Min-Ming Wen

Our study examines how the adoption of the inevitable disclosure doctrine (IDD) across US state courts affects the relationship between leverage and CEO compensation. We find that the IDD adoption significantly attenuates the typically positive association between leverage and CEO pay. This effect is more pronounced for CEOs with higher ex-ante mobility, greater career concerns, weaker organizational influence, and higher firm-specific skills. Rejecting the IDD, on the other hand, amplifies the positive relationship between leverage and CEO pay. Our findings underscore the influence of labor market dynamics on CEO compensation.

我们的研究考察了美国各州法院采用不可避免披露原则（IDD）如何影响杠杆与CEO薪酬之间的关系。我们发现，采用IDD显著减弱了杠杆与CEO薪酬之间典型的正相关关系。对于那些事前流动性高、职业关注度高、组织影响力弱、企业特定技能高的ceo来说，这种效应更为明显。另一方面，拒绝IDD会放大杠杆率与CEO薪酬之间的正相关关系。我们的研究结果强调了劳动力市场动态对CEO薪酬的影响。

引用次数: 0

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