Journal of Banking & Finance最新文献

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Investor attention and stock price manipulation: Evidence from daily quasi-natural experiments 投资者关注与股价操纵：来自日常准自然实验的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-08-06 DOI: 10.1016/j.jbankfin.2025.107528

Zhibing Li , Jia Liu , Jie Liu , Xiaoyu Liu , Chonglin Wu

This study investigates the impact of heightened investor attention on stock price manipulation. To establish causality, we employ daily repeated quasi-natural experiments, where investors’ attention is influenced exogenously by price rounding rather than by stocks’ fundamental information. Our findings demonstrate that stocks included in the Winner List attract significant investor attention, which leads to increased stock price manipulation. A two-stage channel analysis reveals that this increased investor attention exacerbates stock price manipulation through noise trading. Moreover, the positive relationship between investor attention and stock price manipulation is more pronounced in stocks with higher firm-specific information asymmetry, fewer rational investors, weaker external monitoring, higher costs of arbitrage, and non-shortability. Additional analyses indicate that this positive relationship intensifies during periods of heightened investor sentiment, greater economic policy uncertainty and increased geopolitical risk. Our study provides original evidence that the saliency of information exacerbates stock price manipulation and destabilizes financial markets.

本研究旨在探讨投资者高度关注对股价操纵的影响。为了建立因果关系，我们采用每日重复的准自然实验，投资者的注意力受到价格四舍五入的外部影响，而不是股票的基本信息。我们的研究结果表明，赢家名单中的股票吸引了显著的投资者关注，这导致了股价操纵的增加。两阶段通道分析表明，这种投资者关注的增加加剧了通过噪音交易操纵股价。此外，在企业特有信息不对称程度较高、理性投资者较少、外部监督较弱、套利成本较高、非卖空性较强的股票中，投资者关注与股价操纵之间的正相关关系更为明显。其他分析表明，在投资者情绪高涨、经济政策不确定性加大和地缘政治风险增加的时期，这种正相关关系会加强。我们的研究提供了原始证据，证明信息的显著性加剧了股票价格操纵和金融市场的不稳定。

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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 : 2025-08-05 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

Central bank intervention and bank liquidity: Evidence from the paycheck protection program 中央银行干预和银行流动性：来自薪水保护计划的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-24 DOI: 10.1016/j.jbankfin.2025.107522

Parush Arora , Derek Tran

This paper explores the role of monetary systems when fiscal policy is implemented through the financial sector during a liquidity shock. We use loan-level transactions from the Paycheck Protection Program (PPP) to understand how a bank’s decision to borrow funds from the discount window (DW) affected its lending behavior during the COVID-19 crisis. Using an instrumental variable approach, we find a causal relationship between DW access/borrowing and the number of PPP loans extended by large banks, indicating that access to DW increased the effectiveness of the PPP. Although both large and small banks accessed the DW in the absence of a long-term funding source, accessing the DW almost doubled the PPP lending for large banks, but did not have a statistically significant effect for smaller banks. However, during the period without long-term funding, the DW played an important role in relaxing liquidity constraints for large banks and increasing the overall efficiency of the PPP. Beyond PPP loans, we find that DW access led banks to increase their non-PPP lending by 70 % relative to their reserves, suggesting broader benefits to credit provision. The DW effect on PPP lending disappeared after the introduction of PPP Lending Facility as the banks substituted towards the long-term funding, however its impact on non-PPP lending remained significant in both phases.

本文探讨了在流动性冲击期间通过金融部门实施财政政策时货币体系的作用。我们利用工资保障计划（PPP）的贷款级交易，了解银行从贴现窗口（DW）借款的决定如何影响其在COVID-19危机期间的贷款行为。使用工具变量方法，我们发现DW获取/借贷与大型银行提供的PPP贷款数量之间存在因果关系，表明获取DW提高了PPP的有效性。尽管在缺乏长期资金来源的情况下，大银行和小银行都使用了DW，但使用DW几乎使大银行的PPP贷款增加了一倍，但对小银行没有统计学上的显著影响。然而，在没有长期融资的时期，DW在放松大型银行的流动性限制和提高PPP的整体效率方面发挥了重要作用。除了PPP贷款外，我们发现DW准入导致银行的非PPP贷款相对于其储备增加了70%，这表明信贷提供的好处更广泛。在引入PPP贷款便利后，随着银行转向长期融资，DW对PPP贷款的影响消失，但其对非PPP贷款的影响在两个阶段都很显著。

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引用次数: 0

Social media-based attention and the cross-section of cryptocurrency returns 基于社交媒体的关注和加密货币回报的横截面

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-19 DOI: 10.1016/j.jbankfin.2025.107518

Arnaud T. Maître, Nikolay Pugachyov, Florian Weigert

This paper investigates how investors’ abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our results reveal that abnormal attention is positively associated with contemporaneous and one-day ahead crypto performance. Among the different Twitter tweets, return predictability arises due to Ticker-tweets from investors, but not due to tweets from the cryptocurrency channel. These Official-tweets, however, are able to forecast technological innovations on the blockchain.

本文研究了2018 - 2022年期间投资者异常关注对加密货币收益横截面的影响。我们使用当天单个加密货币的Twitter帖子（日志）数量减去30天的平均值来捕获异常关注。我们的研究结果表明，异常注意力与同期和一天前的加密表现呈正相关。在不同的Twitter推文中，回报可预测性是由投资者的股票推文引起的，而不是由加密货币渠道的推文引起的。然而，这些官方推文能够预测b区块链上的技术创新。

引用次数: 0

Social connections and bank deposits 社会关系和银行存款

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-18 DOI: 10.1016/j.jbankfin.2025.107506

Sean Flynn , Jing Wang

We show that household social connections transmit shocks that influence bank deposits. We find that counties experience an increase in bank deposits when they are more socially connected to counties affected by natural disasters. This effect is not driven by physical proximity, large disasters that attract significant media coverage, or other cross-county channels, including multimarket bank branch networks, population migration, or economic connections. Banks that collect deposits in highly socially-connected counties experience high deposit volatility, but geographic diversification reduces the volatility associated with depositor social connectedness.

我们表明，家庭社会关系传递影响银行存款的冲击。我们发现，当县与受自然灾害影响的县的社会联系更紧密时，它们的银行存款就会增加。这种影响不是由物理上的接近、吸引大量媒体报道的大灾难、或其他跨县渠道（包括多市场银行分支网络、人口迁移或经济联系）驱动的。在社会联系紧密的国家吸收存款的银行存款波动性较大，但地域多样化降低了与存款人社会联系相关的波动性。

引用次数: 0

Trade liberalization and municipal financing costs 贸易自由化与市政融资成本

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-18 DOI: 10.1016/j.jbankfin.2025.107524

Chunbo Liu , Liang Xu , Liuming Yang , Yang Zhou

This study examines the effects of trade liberalization on municipal financing costs. Using the granting of permanent normal trade relations (PNTR) to China as an exogenous shock, we find that U.S. counties that are more exposed to trade liberalization issue bonds with significantly higher tax-adjusted yield spreads. Moreover, these counties pay higher gross spreads and are less likely to issue bonds after PNTR. We also show that secondary market yield spreads increase significantly in response to the U.S. granting of PNTR to China. In addition, we provide evidence that a reduction in debt serving capacity serves as a channel underlying the trade shock effects. Our findings highlight the costs of trade liberalization for public finance.

本研究探讨贸易自由化对市政融资成本的影响。利用给予中国永久正常贸易关系（PNTR）作为外生冲击，我们发现受贸易自由化影响更大的美国县发行的债券具有显著更高的税收调整收益率差。此外，这些国家支付更高的总息差，在PNTR之后不太可能发行债券。我们还表明，二级市场收益率差在美国给予中国PNTR后显著增加。此外，我们提供的证据表明，偿债能力的下降是贸易冲击效应背后的一个渠道。我们的研究结果强调了贸易自由化对公共财政的成本。

引用次数: 0

Trading for good: How active mutual funds influence corporate social responsibility through stock trading 为善交易：活跃的共同基金如何通过股票交易影响企业的社会责任

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-18 DOI: 10.1016/j.jbankfin.2025.107523

Jie Jiao , Lin Tong , An Yan

We hypothesize that active mutual funds can promote corporate social responsibility (CSR) in their portfolio firms through stock trading activities. Leveraging mutual fund family mergers to identify causal effects, we find that a firm’s CSR commitment increases when its mutual funds exhibit stronger CSR preferences through trading. This effect is stronger when mutual fund investors are more active or when the firm’s stock exhibits higher liquidity. Additionally, our results suggest that the trading channel complements non-trading mechanisms through which active mutual funds influence firm CSR.

我们假设主动共同基金可以通过股票交易活动促进其投资组合公司的企业社会责任。利用共同基金家族并购来确定因果关系，我们发现，当共同基金通过交易表现出更强的企业社会责任偏好时，企业的社会责任承诺会增加。当共同基金投资者更活跃或公司股票表现出更高的流动性时，这种效应更强。此外，我们的研究结果表明，交易渠道是积极的共同基金影响企业社会责任的非交易机制的补充。

引用次数: 0

Authorized participants’ regulatory constraints and limits to ETF arbitrage during market turmoil Evidence from the dash-for-cash episode 授权参与者在市场动荡期间对ETF套利的监管约束和限制来自套现事件的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-18 DOI: 10.1016/j.jbankfin.2025.107499

Claudio E. Raddatz K.

This paper shows that authorized participants’ (APs) regulatory constraints weakened the arbitrage relationship between bond ETFs’ primary market activity and their premia during the market turmoil triggered by the dash-for-cash episode in March 2020. Arbitrage activity weakened more severely when those APs with a history of creating or redeeming an ETF’s shares had low regulatory capital ratios, consistent with persistence in arbitrage activity. The results also reveal that the direction of prior arbitrage activity matters, and show that the decline in arbitrage intensity was especially pronounced for ETFs holding less liquid bonds, whose lead market makers had lower regulatory capital ratios, and for those associated with non-bank-affiliated APs. Finally, the paper provides a novel estimate of the elasticity of primary market activity to ETF premia, contributing to the literature on limits to arbitrage and intermediary frictions.

本文表明，在2020年3月的套现事件引发的市场动荡期间，授权参与者（ap）的监管约束削弱了债券etf主要市场活动与其溢价之间的套利关系。当那些有创建或赎回ETF股票历史的ap的监管资本比率较低时，套利活动的减弱更为严重，这与套利活动的持续存在相一致。结果还显示，先前套利活动的方向很重要，并表明套利强度的下降对于持有流动性较差的债券的etf尤其明显，其主要做市商具有较低的监管资本比率，以及与非银行附属ap相关的etf。最后，本文提供了一级市场活动对ETF溢价弹性的新估计，为套利限制和中介摩擦的文献做出了贡献。

引用次数: 0

Hedge fund activism and loan loss provisioning in U.S. banks 对冲基金的激进主义和美国银行的贷款损失拨备

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-16 DOI: 10.1016/j.jbankfin.2025.107519

Dmytro Holod , Yuriy Kitsul , Gӧkhan Torna

In this study, we explore the hedge fund activist (HFA) influence on managerial decisions in the opaque banking industry. Focusing on loan loss provisions (LLPs), an accounting item that is subject to considerable managerial discretion as well as scrutiny from various regulatory agencies, we find that HFAs alleviate the agency problems associated with bank loan loss provisioning decisions. The findings show that HFA influence leads to a substantial reduction in overstatements, but not understatements, of LLPs at target banks. This results in a prompt increase in bottom-line profitability and stock returns, while pointing to no appreciable change in bank risk. We conclude that the disciplinary effect of HFAs contributes to shareholder value by leading to a reduction in excessive loan loss provisioning consistent with a realignment of LLP decisions with target bank shareholders’ interests.

在本研究中，我们探讨了对冲基金积极分子（HFA）对不透明银行业管理决策的影响。专注于贷款损失准备金（llp），这是一个受到相当大的管理自由裁量权和各种监管机构审查的会计项目，我们发现hfa缓解了与银行贷款损失准备金决策相关的代理问题。研究结果表明，HFA的影响导致目标银行llp的高估大幅减少，而不是低估。这导致底线盈利能力和股票回报迅速增加，同时表明银行风险没有明显变化。我们得出的结论是，hfa的惩戒效应有助于股东价值，因为它导致了与LLP决策与目标银行股东利益的重新调整相一致的过度贷款损失拨备的减少。

引用次数: 0

Trust in Founders 信任创始人

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance

Pub Date : 2025-07-16 DOI: 10.1016/j.jbankfin.2025.107514

Murali Jagannathan , Brett W. Myers , Xu Niu

Do employees trust founders more than professional managers? We explore this question with employee actions that are indicative of their distrust in management. We document significant differences in unionization efforts, labor strikes, and unfair labor practice (ULP) complaints between founder-managed firms and professionally managed firms. We posit that these differences stem from the predictability of corporate culture in founder firms and the alignment of interests between founders and employees. Although we employ various methods to establish causation, drawing definitive conclusions regarding employee trust in management is challenging due to the vastly different characteristics of founder-led firms compared to professionally managed firms.

比起职业经理人，员工更信任创始人吗？我们用员工的行为来探讨这个问题，这些行为表明他们对管理层的不信任。我们记录了创始人管理公司和专业管理公司在工会化努力、劳工罢工和不公平劳动实践（ULP）投诉方面的显著差异。我们认为，这些差异源于创始人公司的企业文化的可预测性以及创始人和员工之间的利益一致性。尽管我们采用了各种方法来建立因果关系，但由于创始人领导的公司与专业管理的公司的特点截然不同，因此得出关于员工对管理层信任的明确结论是具有挑战性的。

引用次数: 0

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