Journal of Banking & Finance最新文献

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National culture of secrecy and stock price synchronicity: Cross-country evidence 国家保密文化与股价同步性：跨国证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-15 DOI: 10.1016/j.jbankfin.2024.107341

Chrysovalantis Gaganis , George N. Leledakis , Fotios Pasiouras , Emmanouil G. Pyrgiotakis

This study investigates the relationship between the culture of secrecy and stock price comovement using a large sample of firms in 49 countries over the period 1990 to 2019. We find that stock prices in secretive societies comove more than stock prices in less secretive societies. This higher comovement occurs primarily because idiosyncratic volatility is lower. We attribute this finding to cultural biases in secretive societies which deter investors’ information-seeking behavior. To support these conjectures, we provide evidence of stronger mean reversals (less informed trading) in these societies. Our results persist when we account for cross-country differences in firms’ liquidity and information asymmetry, and when we control for cash flow uncertainty. Finally, the enforcement of insider trading laws in secretive countries is associated with less privately informed trading and lower idiosyncratic volatility.

本研究利用 1990 年至 2019 年期间 49 个国家的大量公司样本，调查了保密文化与股票价格协整性之间的关系。我们发现，保密社会的股票价格比保密程度较低的社会的股票价格具有更高的协整性。出现这种较高的相关性主要是因为特异波动性较低。我们将这一发现归因于神秘社会的文化偏见，这种偏见阻碍了投资者的信息搜寻行为。为了支持这些猜想，我们提供了这些社会中均值反转更强（知情交易更少）的证据。当我们考虑到企业流动性和信息不对称方面的跨国差异，并控制现金流的不确定性时，我们的结果依然存在。最后，保密国家内幕交易法的实施与较少的私下知情交易和较低的特异性波动有关。

引用次数: 0

Economic policy uncertainty and corporate bond liquidity 经济政策不确定性与公司债券流动性

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-15 DOI: 10.1016/j.jbankfin.2024.107340

Jeffrey R. Black , Nirmol Das , Diego Leal

We find that elevated economic policy uncertainty (EPU) is associated with reductions in corporate bond dealer inventories and worsening liquidity, suggesting bond dealers react to increased inventory risk by reducing their capital commitments and compensating themselves via increased transaction costs. A one standard deviation increase in EPU is associated with a 2.19% widening in bid-ask spreads, 2.36% increase in Amihud illiquidity, and 3.38% reduction in average inventories. This effect is greater for bonds issued by firms with direct exposure to government policy, and less pronounced in small firms, illiquid bonds, and calmer markets, suggesting that EPU affects bond liquidity more when macroeconomic, but not idiosyncratic, factors are the primary determinant of bond risk.

我们发现，经济政策不确定性（EPU）的上升与公司债券交易商库存的减少和流动性的恶化有关，这表明债券交易商通过减少资本承诺和通过增加交易成本来补偿自己，从而对库存风险的增加做出反应。EPU 增加一个标准差会导致买卖价差扩大 2.19%，Amihud 流动性不足增加 2.36%，平均库存减少 3.38%。对于直接受政府政策影响的公司发行的债券，这种影响更大，而对于小公司、流动性差的债券和较为平静的市场，这种影响则不那么明显，这表明当宏观经济因素而非特质因素是债券风险的主要决定因素时，EPU 对债券流动性的影响更大。

引用次数: 0

Experimenting with financial professionals 与金融专业人员进行试验

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-14 DOI: 10.1016/j.jbankfin.2024.107329

Christoph Huber , Christian König-Kersting , Matteo M. Marini

As key players in financial markets and the broader industry, financial professionals are increasingly used as experimental research participants. We review over 50 studies comparing financial professionals to laypeople and conduct meta-analyses of 22 eligible studies spanning from 1986 to 2023. Our findings reveal persistent and robust support for financial professionals being more risk-loving, but little evidence of superior forecasting accuracy. Further analyses indicate that larger monetary payments result in greater behavioral differences between financial professionals and laypeople, suggesting an increased susceptibility to incentives among professionals. This systematic review not only synthesizes experimental results, contributing to recent discussions about external validity and generalizability, but also highlights critical methodological considerations when experimenting with financial professionals.

作为金融市场和整个行业的重要参与者，金融专业人士越来越多地被用作实验研究的参与者。我们回顾了 50 多项比较金融专业人士和非专业人士的研究，并对 22 项符合条件的研究进行了元分析，时间跨度从 1986 年到 2023 年。我们的研究结果表明，金融专业人士更偏好风险，但几乎没有证据表明他们的预测准确性更高。进一步的分析表明，较大的货币支付会导致金融专业人士和非专业人士之间更大的行为差异，这表明专业人士更容易受到激励因素的影响。这篇系统性综述不仅综合了实验结果，有助于近期关于外部有效性和可推广性的讨论，而且还强调了在对金融专业人士进行实验时在方法上的关键考虑因素。

引用次数: 0

Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique ETF是否会增加其相关资产的连动性？转换 ETF 复制技术的证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-13 DOI: 10.1016/j.jbankfin.2024.107333

Thomas Marta , Fabrice Riva

We investigate the impact of Exchange-Traded Funds (ETFs) on the comovements of their constituent securities using a novel identification that exploits the switch from synthetic to physical replication of a large French ETF. After the switch, constituent stocks experience greater commonality, in both returns and liquidity. For both the full sample of ETF constituents and the least liquid ETF constituents, a larger part of the variation in individual stock returns or liquidity is explained by market-wide variations. We present evidence that ETF creation and redemption is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.

我们采用一种新颖的识别方法，利用法国大型 ETF 从合成复制到实物复制的转换，研究了交易所交易基金（ETF）对其成份证券一致性的影响。转换后，成分股在收益和流动性方面都有更大的共同性。对于全样本 ETF 成份股和流动性最低的 ETF 成份股而言，个股收益率或流动性的大部分变化都是由整个市场的变化所解释的。我们提出的证据表明，ETF的创设和赎回是相关性的传导机制。此外，我们还表明，这种联动并不显得过度。

引用次数: 0

Three decades of failed bank acquisitions 三十年来失败的银行收购

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-10 DOI: 10.1016/j.jbankfin.2024.107336

Laima Spokeviciute , Hossein Jahanshahloo , Kevin Keasey , Francesco Vallascas

Using more than 30 years of data, we document that the acquisition of failed US commercial banks through FDIC-managed Purchase and Assumption (P&A) transactions leads to long-term improvements in the profitability and loan risk of the combined entity and has no detrimental effects on its capital adequacy. These results are generally stronger for transactions with greater potential for economies of scale and efficiency gains. Furthermore, geographic similarity in the branch network of the acquirer and the target marginally improves the profitability of the combined entity, while a greater business similarity between the merged banks has no effect on deal outcomes. Additional tests show that the presence of regulatory subsidies also improves the profitability of the combined entity. Finally, we find no support for theoretical predictions about the misallocation of failed bank assets in the presence of widespread failures in local markets. Our findings are important for the understanding of the consequences of bank resolution through assisted M&As.

我们利用 30 多年的数据证明，通过联邦存款保险公司管理的购买和承担（P&A）交易收购倒闭的美国商业银行，可长期改善合并后实体的盈利能力和贷款风险，而且对其资本充足率没有不利影响。对于规模经济和增效潜力较大的交易而言，上述结果通常更为显著。此外，并购方与目标方分行网络的地理相似性会略微提高合并后实体的盈利能力，而合并后银行之间更大的业务相似性对交易结果没有影响。其他测试表明，监管补贴的存在也会提高合并后实体的盈利能力。最后，我们发现在当地市场普遍倒闭的情况下，关于倒闭银行资产配置不当的理论预测并不成立。我们的发现对于理解通过协助并购解决银行问题的后果非常重要。

引用次数: 0

Movables as collateral and corporate credit: Loan-level evidence from legal reforms across Europe 作为抵押品的动产和公司信贷：欧洲法律改革提供的贷款层面证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-08 DOI: 10.1016/j.jbankfin.2024.107331

Steven Ongena , Walid Saffar , Yuan Sun , Lai Wei

Does pledging movables as collateral alter corporate borrowing? To answer this question, we study the effect of collateral law reforms on syndicated bank loans granted across nine European countries that facilitated pledging movables between 1995 and 2019, comparing them to 19 countries that did not. We differentiate firms in sectors of higher versus lower asset movability to strengthen the identification. We find that although the reforms have enabled firms in movable-intensive sectors to issue more secured loans, the average cost of the loans and the number of covenants have also increased. Channel tests suggest that banks may demand more to compensate for the potential wealth redistribution induced by newly issued secured credit, or the unique risk involved with using movables as collateral.

将动产作为抵押品是否会改变企业借贷？为了回答这个问题，我们研究了抵押法改革对 1995 年至 2019 年间九个欧洲国家银团贷款发放的影响，这些国家为动产质押提供了便利，我们将其与 19 个未提供动产质押的国家进行了比较。我们区分了资产流动性较高和较低行业的企业，以加强识别。我们发现，虽然改革使动产密集型行业的企业能够发放更多担保贷款，但贷款的平均成本和契约的数量也有所增加。渠道测试表明，银行可能会提出更高的要求，以补偿新发放的担保信贷可能引起的财富再分配，或补偿使用动产作为抵押品所涉及的独特风险。

引用次数: 0

Factor momentum versus price momentum: Insights from international markets 因素动量与价格动量：国际市场的启示

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-07 DOI: 10.1016/j.jbankfin.2024.107332

Nusret Cakici , Christian Fieberg , Daniel Metko , Adam Zaremba

Does factor momentum drive stock price momentum? We examine this relationship across 51 countries. Factor momentum proves strong across many markets and international portfolios, independent of typical return predictability drivers. However, its ability to capture stock momentum profits depends on methodological and dataset choices. Empirical factor momentum cannot entirely subsume stock or industry momentum globally. Conversely, price momentum often better explains its factor counterpart than vice versa. Notably, factor momentum based on principal components is more robust, capturing a major share of price momentum gains in developed and emerging markets. Our findings challenge the view that momentum merely times other factors rather than constituting a distinct anomaly.

要素动量会推动股价动量吗？我们研究了 51 个国家的这种关系。事实证明，因子动量在许多市场和国际投资组合中都很强劲，与典型的回报可预测性驱动因素无关。然而，因子动量捕捉股票动量利润的能力取决于方法和数据集的选择。经验因子动量不能完全涵盖全球股票或行业动量。相反，价格动量往往能更好地解释其对应的因子动量。值得注意的是，基于主成分的因子动量更为稳健，捕捉到了发达市场和新兴市场价格动量涨幅的主要部分。我们的研究结果对动量仅仅是其他因素的乘数，而不是一种独特异常现象的观点提出了质疑。

引用次数: 0

A new measure for differences of opinions: Institutional trade dispersion 衡量意见分歧的新标准：机构贸易离散度

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-11-07 DOI: 10.1016/j.jbankfin.2024.107334

Dallin M. Alldredge , Mustafa O. Caglayan

Using 13F quarterly holdings data of institutional investors, we introduce a novel measure for differences of opinions among investors by analyzing divergence in institutional investors’ trades. We find that increases in institutional trade dispersion predict a significant decline in future abnormal returns. Moreover, we find that this relationship persists after controlling for other proxies of divergence of investor opinions, such as the dispersion in analysts’ earnings forecasts, the change in the number of institutions holding the stock, and the dispersion in institutional investors’ holdings relative to their benchmarks. Consistent with Miller (1977), underperformance of high-dispersion stocks is found to be the strongest among stocks that experienced recent significant price increases, the stocks with the highest mispricing scores, and the stocks that face increases in short-interest positions after the onset of dispersion.

利用机构投资者的 13F 季度持股数据，我们通过分析机构投资者的交易分歧，引入了一种衡量投资者意见分歧的新方法。我们发现，机构交易分歧的增加会预测未来异常回报的显著下降。此外，我们还发现，在控制了投资者意见分歧的其他代用指标（如分析师盈利预测的离散度、持有股票的机构数量变化以及机构投资者相对于其基准的持股离散度）之后，这种关系依然存在。与 Miller（1977）的观点一致，高离散度股票的表现不佳主要表现在近期股价大幅上涨的股票、错误定价得分最高的股票以及在离散度出现后利空持仓增加的股票上。

引用次数: 0

Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence 做市商限价订单补贴能否改善市场结果？准自然实验证据

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-28 DOI: 10.1016/j.jbankfin.2024.107330

Yiping Lin , Peter L. Swan , Frederick H.de B. Harris

We provide a new theory of exchange access fees that explains why fees relatively reduce the probability of execution and increase the limit order queue length on “maker-taker” platforms. Nonetheless, the limit order subsidy greatly improves market depth, together with market efficiency and trading volume. Moreover, fee structures never “wash out” regardless of the minimum tick. The regulatory requirement that trading and order flow depend only on raw (nominal) spreads and prices underpins the multi-billion-dollar subsidy to limit orders. So long as a platform remains competitive, elimination of the fee structure does not alter the raw spread, but it does lower the cum fee spread. We test these implications with a unilateral maker-taker fee/rebate reduction using NASDAQ's “quasi-natural” $1.9 trillion experiment to find support for our theory.

我们提供了一个关于交易所准入费的新理论，解释了为什么在 "做市商 "平台上，准入费会相对降低执行概率并增加限价订单排队长度。然而，限价订单补贴大大提高了市场深度，同时也提高了市场效率和交易量。此外，无论最低交易价是多少，收费结构都不会 "洗掉"。监管机构要求交易和订单流量仅取决于原始（名义）价差和价格，这是对限价订单提供数十亿美元补贴的基础。只要平台仍有竞争力，取消费用结构不会改变原始价差，但会降低累计费用价差。我们利用纳斯达克 1.9 万亿美元的 "准自然 "实验，通过单边降低做市商费用/回扣来测试这些影响，从而为我们的理论提供支持。

引用次数: 0

Does regulatory and supervisory independence affect financial stability? 监管和监督的独立性会影响金融稳定吗？

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2024-10-26 DOI: 10.1016/j.jbankfin.2024.107318

Nicolò Fraccaroli , Rhiannon Sowerbutts , Andrew Whitworth

Since the 2008 financial crisis, regulators and supervisors have been granted increased independence from political bodies. But there is no clear evidence of the benefits of more independence for the stability of the banking sector. In this paper we introduce a new indicator of regulatory and supervisory independence for 98 countries from 1999 to 2019. We combine this index with bank-level data to investigate the relationship between independence and financial stability. We find that greater regulatory and supervisory independence is associated with improved financial stability. We show that these results are robust to alternative measures of financial stability and to a number of tests. Overall, our findings indicate that increasing the independence of regulators and supervisors is beneficial for financial stability.

自 2008 年金融危机以来，监管机构和监督人员越来越独立于政治机构。但是，并没有明确的证据表明提高独立性对银行业的稳定性有好处。在本文中，我们引入了一个新的监管和监督独立性指标，该指标涵盖了从 1999 年到 2019 年的 98 个国家。我们将这一指标与银行层面的数据相结合，研究独立性与金融稳定性之间的关系。我们发现，更大的监管和监督独立性与更好的金融稳定性相关。我们表明，这些结果对其他金融稳定性衡量标准和一系列测试都是稳健的。总体而言，我们的研究结果表明，提高监管机构和监督者的独立性有利于金融稳定。

引用次数: 0

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