Journal of Banking & Finance最新文献

英文中文

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 : 2025-12-01 Epub 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 Our quantitative results show that the consensus prediction about a strictly positive premium-risk nexus is no longer valid.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

Share pledging of insiders and corporate debt contracting 内部人士股权质押和公司债务承包

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-12-01 Epub Date: 2025-10-02 DOI: 10.1016/j.jbankfin.2025.107567

Carl Hsin-han Shen , Hao Zhang

We examine whether insiders’ pledging of company stock as collateral for personal loans influences a company’s debt contracting. We attempt to identify causality through difference-in-differences analyses of an unexpected legislative change that exogenously reduced board directors’ pledging incentives. We find that firms with higher initial pledging levels, which subsequently experienced a significant decline in pledging ratios due to the regulation, benefited from lower loan spreads and less stringent non-price loan terms. We further hypothesize and provide evidence that the positive impact of insider pledging on corporate borrowing costs is less pronounced in closely held firms. Examining the mechanisms, we find that share pledging is positively related to earnings management, firm risk-taking behaviors, and agency problems. Overall, these findings suggest that banks perceive insider share pledging as engendering significant risks.

我们考察了内部人士以公司股票作为个人贷款抵押品是否影响公司的债务承包。我们试图通过对外生性降低董事会承诺激励的意外立法变化的差异分析来确定因果关系。我们发现，具有较高初始质押水平的公司，随后由于监管而经历了质押比率的显着下降，受益于较低的贷款利差和较宽松的非价格贷款条款。我们进一步假设并提供证据表明，内部人质押对公司借贷成本的积极影响在封闭式公司中不那么明显。通过机制分析，我们发现股权质押与盈余管理、企业风险承担行为和代理问题呈正相关。总体而言，这些发现表明，银行认为内部股权质押会产生重大风险。

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 : 2025-12-01 Epub 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

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 : 2025-11-01 Epub 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

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 : 2025-11-01 Epub 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

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 : 2025-11-01 Epub 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

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 : 2025-11-01 Epub 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 : 2025-11-01 Epub 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

Housing markets: Auctions, granular shocks, and microstructure frictions 房地产市场：拍卖、颗粒冲击和微观结构摩擦

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-11-01 Epub Date: 2025-09-20 DOI: 10.1016/j.jbankfin.2025.107553

Alina Arefeva

This paper examines the drivers of housing market volatility through dynamic search-and-matching models that incorporate auctions. Two versions of the model are developed: one in which buyers visit homes randomly and another where search is directed by seller reserve prices. The analysis demonstrates that granular shocks and microstructure frictions—arising from the interaction of idiosyncratic and infrequent transactions, search frictions, and auctions-based pricing—generate persistent volatility, even in large markets such as Los Angeles. The paper also identifies systematic weekly patterns in housing activity, which account for up to 60% of monthly variation in sales and listings due to calendar composition. Recognizing and filtering out these predictable fluctuations ensures that the model targets economically meaningful sources of volatility. Together, granular shocks, microstructure frictions, and weekly patterns explain 70%–80% of sales and listings volatility, with the remainder driven by exogenous shocks. These findings underscore the importance of auctions, granular shocks, microstructure frictions, and weekly patterns in understanding housing market dynamics.

本文通过包含拍卖的动态搜索与匹配模型考察了住房市场波动的驱动因素。该模型有两种版本：一种是买家随机拜访房屋，另一种是根据卖家的底价进行搜索。分析表明，颗粒冲击和微观结构摩擦——由特殊和不频繁的交易、搜索摩擦和基于拍卖的定价的相互作用产生——产生持续的波动，即使在洛杉矶这样的大型市场也是如此。该论文还确定了住房活动的系统性每周模式，由于日历构成，这种模式占每月销售和上市变化的60%。识别并过滤掉这些可预测的波动，可确保模型以经济上有意义的波动源为目标。颗粒冲击、微观结构摩擦和每周模式共同解释了70%-80%的销售和上市波动，其余部分由外生冲击驱动。这些发现强调了拍卖、颗粒冲击、微观结构摩擦和每周模式在理解房地产市场动态方面的重要性。

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引用次数: 0

The price of realized extreme climate events in the implied cost of equity capital: International evidence 权益资本隐含成本中已实现极端气候事件的价格：国际证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-11-01 Epub Date: 2025-08-05 DOI: 10.1016/j.jbankfin.2025.107525

Weidong Xu , Danyu Zhu , Xin Gao , Lu Xing , Donghui Li

Using an international sample of 38 countries, we find that firms located in countries experiencing greater socioeconomic damage from extreme climate events have higher implied costs of equity capital. This finding is attributed to heightened operational uncertainty, greater information asymmetry, and intensified agency conflicts that arise in the wake of extreme climate events. The relation is stronger for firms that derive substantial revenue from domestic markets, operate in climate-vulnerable industries, or are closely held by domestic institutional investors. The effect also varies across countries and is concentrated in markets characterized by low transparency or limited integration into the global financial market. While extreme climate events negatively influence firm performance and valuation, they raise corporate awareness of climate risk.

利用38个国家的国际样本，我们发现位于遭受极端气候事件更大社会经济损失的国家的公司具有更高的隐含权益资本成本。这一发现归因于极端气候事件后操作不确定性增加、信息不对称加剧以及机构冲突加剧。对于那些从国内市场获得大量收入、在易受气候变化影响的行业经营或由国内机构投资者密切控制的公司来说，这种关系更强。影响也因国家而异，主要集中在透明度低或与全球金融市场一体化程度有限的市场。虽然极端气候事件对企业绩效和估值产生负面影响，但它们提高了企业对气候风险的认识。

引用次数: 0

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