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The treasury auction risk premium 国债拍卖风险溢价
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-10-10 DOI: 10.1016/j.jbankfin.2024.107316
Patrick Herb
Using a time series asset pricing model, I empirically show that underpricing of U.S. Treasury securities is explained by risk premia that compensate dealers for bearing price risk. This finding suggests that the Treasury could reduce underpricing by reducing the post-auction price risk (volatility) to auction participants, which can be achieved mathematically by reducing the time from auction to settlement. I calculate that underpricing cost the Treasury $46.3 billion from January 2000 through June 2016. I estimate that standardizing the settlement period to 1-day could have saved the Treasury $15.6 billion over the same period. In addition, I use the estimated model to forecast expected risk-adjusted returns (that result from underpricing) for each auction, and find that these forecasts predict Treasury auction demand. This finding suggests that auction demand depends on underpricing, albeit on an expected risk-adjusted basis. Further, this expected underpricing may actually help the Treasury to sell debt and avoid auction failures.
笔者利用时间序列资产定价模型，通过实证研究表明，美国国库券定价偏低的原因是风险溢价补偿了交易商承担的价格风险。这一发现表明，财政部可以通过降低拍卖参与者拍卖后的价格风险（波动性）来减少定价过低的情况，这可以通过缩短从拍卖到结算的时间在数学上实现。根据我的计算，从 2000 年 1 月到 2016 年 6 月，定价不足使财政部损失了 463 亿美元。我估计，如果将结算时间标准化为 1 天，财政部在同一时期可节省 156 亿美元。此外，我还利用估计模型预测了每次拍卖的预期风险调整收益（因定价过低而产生），并发现这些预测可以预测财政部的拍卖需求。这一发现表明，拍卖需求取决于定价不足，尽管是在预期风险调整的基础上。此外，这种预期定价偏低实际上可能有助于财政部出售债务，避免拍卖失败。
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引用次数: 0
Vulnerable funding in the global economy 全球经济中的脆弱供资
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-29 DOI: 10.1016/j.jbankfin.2024.107314
Helena Chuliá , Ignacio Garrón , Jorge M. Uribe
This study builds on the conceptual framework of vulnerable growth to examine how US financial shocks influence the conditional distribution of real credit growth across a diverse set of countries, a phenomenon we term vulnerable funding. We show that deteriorating US financial conditions are linked to a reduction in real credit growth abroad, with particularly pronounced effects at the lower quantiles of real credit growth abroad. This suggests that, in common with the episodes of vulnerable growth discussed in the extant literature, episodes of vulnerable funding are also triggered globally by financial weakness in the US. However, our analysis reveals significant variation in the impact of US financial shocks across the quantiles of credit growth in countries worldwide. Specifically, countries with lower credit-to-GDP ratios or with higher levels of US investment relative to their GDP exhibit greater real credit growth vulnerability.
本研究以脆弱增长的概念框架为基础，研究美国金融冲击如何影响不同国家实际信贷增长的条件分布，我们称之为脆弱融资现象。我们的研究表明，美国金融状况的恶化与国外实际信贷增长的下降有关，对国外实际信贷增长的较低量化值的影响尤为明显。这表明，与现有文献中讨论的脆弱增长事件一样，脆弱融资事件也是由美国的金融疲软在全球范围内引发的。然而，我们的分析表明，美国金融冲击对世界各国信贷增长量位的影响存在显著差异。具体而言，信贷与国内生产总值比率较低或美国投资相对于国内生产总值水平较高的国家，其实际信贷增长的脆弱性更大。
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引用次数: 0
Information spillover and cross-predictability of currency returns: An analysis via Machine Learning 信息溢出和货币回报的交叉可预测性：机器学习分析
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-26 DOI: 10.1016/j.jbankfin.2024.107313
Yuecheng Jia , Yuzheng Liu , Yangru Wu , Shu Yan
This paper documents significant cross-return predictability of news variables, derived from textual analysis of news articles, for a broad cross-section of currencies. By employing forecasts based on the Least Absolute Shrinkage and Selection Operator (LASSO) that incorporate both news variables and forward discounts, we develop a notably profitable trading strategy. This strategy proves robust against transaction costs, risk adjustments, and controls for currency characteristics. Further analyses indicate that both risks and market frictions contribute to the profitability of the trading strategy, highlighting the crucial role of news in financial markets.
本文记录了从新闻文章文本分析中得出的新闻变量对多种货币的交叉收益预测能力。通过采用基于最小绝对缩水和选择操作器（LASSO）的预测，并结合新闻变量和远期贴水，我们开发出了一种显著盈利的交易策略。事实证明，该策略在交易成本、风险调整和货币特性控制方面都很稳健。进一步的分析表明，风险和市场摩擦都有助于提高交易策略的盈利能力，凸显了新闻在金融市场中的关键作用。
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引用次数: 0
Does firm culture influence corporate financing decisions? Evidence from debt maturity choice 企业文化影响企业融资决策吗？债务期限选择的证据
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-24 DOI: 10.1016/j.jbankfin.2024.107310
Sudip Datta , Trang Doan , Francesca Toscano
This study establishes a relation between corporate culture and debt maturity choice. Specifically, superior corporate culture is associated with the choice of shorter-term debt, supporting the notion that superior culture reduces managerial agency problems resulting in managers being more receptive to external monitoring through the choice of shorter-term debt. The culture subcomponents of integrity, teamwork, and innovation are found to have a meaningful influence on the debt maturity structure choice. The relation between culture and debt maturity is more pronounced in firms with higher managerial stock ownership and those that are financially constrained, but is weakened in firms with a greater CEO sensitivity to stock prices. Additionally, firms with superior culture are shown to have higher long-term credit ratings. These findings contribute at the confluence of corporate culture and debt financing literatures. A battery of robustness tests, including addressing endogeneity concerns, validate the findings.
本研究确定了企业文化与债务期限选择之间的关系。具体来说，优秀的企业文化与短期债务的选择有关，这支持了这样一种观点，即优秀的企业文化可以减少管理代理问题，从而使管理者通过选择短期债务更容易接受外部监督。研究发现，诚信、团队合作和创新等企业文化子要素对债务期限结构的选择有重要影响。文化与债务期限之间的关系在管理者持股比例较高的企业和财务受限的企业中更为明显，但在首席执行官对股票价格更为敏感的企业中则有所减弱。此外，文化优越的公司的长期信用评级也较高。这些发现为企业文化和债务融资理论的融合做出了贡献。一系列稳健性测试（包括解决内生性问题）验证了这些发现。
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引用次数: 0
The rise of ESG rating agencies and management of corporate ESG violations 环境、社会和公司治理（ESG）评级机构的兴起以及对企业环境、社会和公司治理违规行为的管理
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-21 DOI: 10.1016/j.jbankfin.2024.107312
Albert Tsang , Yujie Wang , Yi Xiang , Li Yu
In recent years, firms have increasingly come under scrutiny from environmental, social, and governance (ESG) rating agencies which systematically assess and publicize ESG-related information to diverse stakeholders. This study aims to investigate whether firms exhibit a heightened incentive to avoid ESG-related regulatory violations once they come under the coverage of ESG rating agencies. Analyzing data spanning from 2000 to 2018 and considering the coverage provided by four prominent ESG rating agencies to U.S. firms, we leverage the staggered initiation and intensity of this coverage. Our findings reveal a negative correlation between ESG violations and the commencement and extent of coverage by ESG rating agencies. This relationship is particularly pronounced for firms characterized by lower levels of corporate monitoring as indicated by fewer analysts providing coverage, limited media attention, weaker ESG commitments, and less disparate ESG ratings. Taken together, our study sheds light on the monitoring role of ESG rating agencies, illustrating their significance in incentivizing managers to mitigate ESG violations.
近年来，企业越来越多地受到环境、社会和治理（ESG）评级机构的监督，这些机构系统地评估并向不同的利益相关者公布 ESG 相关信息。本研究旨在探讨企业一旦被ESG评级机构覆盖，是否会表现出更强的动机来避免ESG相关的监管违规行为。我们分析了 2000 年至 2018 年的数据，并考虑了四家著名 ESG 评级机构对美国公司的覆盖范围，利用了这种覆盖范围的交错启动和强度。我们的研究结果表明，ESG违规行为与ESG评级机构覆盖的开始时间和程度之间存在负相关关系。这种关系对于企业监控水平较低的公司尤为明显，这表现在提供报道的分析师较少、媒体关注有限、ESG 承诺较弱以及 ESG 评级差异较小。综上所述，我们的研究揭示了环境、社会和治理评级机构的监督作用，说明了它们在激励管理者减少环境、社会和治理违规行为方面的重要性。
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引用次数: 0
Banks incentive pay, diversification and systemic risk 银行激励薪酬、多样化和系统性风险
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-20 DOI: 10.1016/j.jbankfin.2024.107299
Fabio Castiglionesi , Shuo Zhao
This paper analyzes the impact of incentive pay for bank managers on financial stability. The study focuses on two banks owned by risk-neutral principals but operated by risk-averse managers who decide on leverage and the extent of diversification into the other bank’s assets, both of which determine the systemic risk. To begin, we establish the optimal incentive pay contract assuming a planner seeks to maximize the total value of the banks. In equilibrium, we find that the contract excessively relies on relative performance evaluation, leading to an inefficiently high degree of diversification, leverage, and systemic risk. This outcome obtains even when the principal represents the interests of all stakeholders in an individual bank. We demonstrate that only regulation specifically targeting relative performance evaluation can restore efficiency, while existing regulations on managerial pay can inadvertently amplify systemic risk.
本文分析了银行经理的激励薪酬对金融稳定性的影响。研究重点是两家由风险中性的委托人所有、但由规避风险的经理人经营的银行，这两家银行的经理人决定杠杆率和对另一家银行资产的分散程度，而杠杆率和分散程度都决定了系统性风险。首先，我们假设规划者追求银行总价值的最大化，建立最优激励薪酬合同。在均衡状态下，我们发现该合同过度依赖于相对业绩评估，从而导致无效的高度分散化、杠杆化和系统性风险。即使委托人代表了单个银行所有利益相关者的利益，也会出现这种结果。我们证明，只有专门针对相对业绩评估的监管才能恢复效率，而现有的管理者薪酬监管会无意中放大系统性风险。
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引用次数: 0
The value of say on pay 薪酬决定权的价值
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-19 DOI: 10.1016/j.jbankfin.2024.107311
Axel Kind , Marco Poltera , Johannes Zaia
We measure the impact of “say on pay” (SoP) – mandatory shareholder votes on top-management compensation – on the market value of voting rights. By exploiting the staggered introduction of SoP across 14 economies, we show that SoP does not automatically increase the value of shareholder voting rights. While stricter, binding SoP reforms increase voting values, looser advisory SoP laws decrease them. Firms that do not pay their CEOs excessively experience the largest decreases in voting values. Voting values also reflect a country’s level of investor protection, past dissent in SoP ballots, and dynamically adjust to changes in managerial compensation.
我们衡量了 "薪酬说"（SoP）--对高层管理人员薪酬的强制性股东投票--对投票权市场价值的影响。通过在 14 个经济体中交错引入 "薪酬说"，我们发现 "薪酬说 "并不会自动提高股东投票权的价值。更严格、更具约束力的SoP改革会提高投票权价值，而更宽松的SoP咨询法则会降低投票权价值。不向首席执行官支付过高薪酬的公司的投票权价值降幅最大。投票权价值还反映了一个国家的投资者保护水平、过去在《公司法》投票中的异议情况，并随着管理者薪酬的变化而动态调整。
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引用次数: 0
Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices 冲突与强化的私人信息、信息聚合以及资产价格的时间序列特性
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-07 DOI: 10.1016/j.jbankfin.2024.107300
Charles Schnitzlein , Patricia Chelley-Steeley , James M Steeley
We study how the relationship between independent private information signals affects information aggregation in laboratory asset markets. We employ two mechanisms, a continuous double auction and a prediction market. Under both mechanisms, when information is reinforcing, partial information aggregation occurs. When information is in conflict, information aggregation lessens and attempts to profit from private information frequently harm informational efficiency. In both mechanisms, results become stronger with experience in previous experimental sessions, and provide a private information benchmark for studies of the implications of conflicting public information. Under reasonable assumptions, our results are consistent with both momentum effects and weak reversals.
我们研究独立私人信息信号之间的关系如何影响实验室资产市场的信息聚合。我们采用了连续双重拍卖和预测市场两种机制。在这两种机制下，当信息具有强化作用时，会出现部分信息聚集。当信息发生冲突时，信息聚合会减弱，试图从私人信息中获利的行为往往会损害信息效率。在这两种机制中，结果会随着以往实验经验的积累而变得更强，并为研究公共信息冲突的影响提供了私人信息基准。在合理的假设条件下，我们的结果与动量效应和弱逆转都是一致的。
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引用次数: 0
Cross-country determinants of market efficiency: A technical analysis perspective 市场效率的跨国决定因素：技术分析视角
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-05 DOI: 10.1016/j.jbankfin.2024.107297
Jiali Fang , Ben Jacobsen

This study examines the relative impact of seven factors, including herding, sentiments, and institutional quality, on varying levels of weak form market efficiency across 50 stock markets. The analysis focuses on the profitability of technical analysis trading strategies to address issues with other (statistical) market efficiency measures related to information and transaction costs (Griffin et al., 2010). Proxies for herding, institutional quality, and equity market development consistently emerge as the most significant cross-country determinants of relative market efficiency. In contrast, proxies for fractionalization, chaos, and investor protection play comparatively weaker roles. We also find no clear link between market efficiency and sentiment proxies.

本研究考察了 50 个股票市场中羊群效应、情绪和机构质量等七个因素对不同程度的弱形式市场效率的相对影响。分析的重点是技术分析交易策略的盈利能力，以解决与信息和交易成本相关的其他（统计）市场效率衡量方法的问题（Griffin 等人，2010 年）。羊群效应、机构质量和股票市场发展的代用指标始终是相对市场效率最重要的跨国决定因素。相比之下，分化、混乱和投资者保护等代用指标的作用相对较弱。我们还发现，市场效率与情绪代用指标之间没有明显联系。
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引用次数: 0
Effects of macroprudential policy: Evidence from over 6000 estimates 宏观审慎政策的影响：来自 6000 多项估算的证据
IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Journal of Banking & Finance
Pub Date : 2024-09-04 DOI: 10.1016/j.jbankfin.2024.107273
Juliana Araujo , Manasa Patnam , Adina Popescu , Fabian Valencia , Weijia Yao

This paper builds a novel database on the effects of macroprudential policy drawing from 58 empirical studies, comprising over 6000 results on a wide range of instruments and outcome variables. It encompasses information on statistical significance, standardized magnitudes, and other characteristics of the estimates. Using meta-analysis techniques, the paper estimates average effects to find (i) statistically significant effects on credit, but with considerable heterogeneity across instruments; (ii) weaker and more imprecise effects on house prices; (iii) quantitatively stronger effects in emerging markets and among studies using micro-level data; and (iv) statistically significant evidence of leakages and spillovers. Other findings include relatively stronger impacts for tightening than loosening actions and negative effects on economic activity in the near term.

本文建立了一个关于宏观审慎政策效果的新型数据库，该数据库从 58 项实证研究中汲取养分，包含 6000 多项关于各种工具和结果变量的结果。该数据库包含有关统计显著性、标准化幅度以及估计值其他特征的信息。利用元分析技术，本文对平均效应进行了估算，发现：(i) 在统计意义上对信贷有显著影响，但不同工具之间存在相当大的异质性；(ii) 对房价的影响较弱且更不精确；(iii) 在新兴市场和使用微观数据的研究中，从数量上看影响更大；(iv) 从统计意义上看，有证据表明存在泄漏和溢出效应。其他研究结果包括紧缩行动的影响相对强于宽松行动，以及对近期经济活动的负面影响。
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引用次数: 0
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