Pub Date : 2025-07-19DOI: 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.
{"title":"Social media-based attention and the cross-section of cryptocurrency returns","authors":"Arnaud T. Maître, Nikolay Pugachyov, Florian Weigert","doi":"10.1016/j.jbankfin.2025.107518","DOIUrl":"10.1016/j.jbankfin.2025.107518","url":null,"abstract":"<div><div>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 <em>Ticker</em>-tweets from investors, but not due to tweets from the cryptocurrency channel. These <em>Official</em>-tweets, however, are able to forecast technological innovations on the blockchain.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107518"},"PeriodicalIF":3.6,"publicationDate":"2025-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-18DOI: 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.
{"title":"Social connections and bank deposits","authors":"Sean Flynn , Jing Wang","doi":"10.1016/j.jbankfin.2025.107506","DOIUrl":"10.1016/j.jbankfin.2025.107506","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107506"},"PeriodicalIF":3.6,"publicationDate":"2025-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686408","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-18DOI: 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.
{"title":"Trade liberalization and municipal financing costs","authors":"Chunbo Liu , Liang Xu , Liuming Yang , Yang Zhou","doi":"10.1016/j.jbankfin.2025.107524","DOIUrl":"10.1016/j.jbankfin.2025.107524","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107524"},"PeriodicalIF":3.6,"publicationDate":"2025-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144703901","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-18DOI: 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.
{"title":"Trading for good: How active mutual funds influence corporate social responsibility through stock trading","authors":"Jie Jiao , Lin Tong , An Yan","doi":"10.1016/j.jbankfin.2025.107523","DOIUrl":"10.1016/j.jbankfin.2025.107523","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107523"},"PeriodicalIF":3.6,"publicationDate":"2025-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144711426","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-18DOI: 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.
{"title":"Authorized participants’ regulatory constraints and limits to ETF arbitrage during market turmoil Evidence from the dash-for-cash episode","authors":"Claudio E. Raddatz K.","doi":"10.1016/j.jbankfin.2025.107499","DOIUrl":"10.1016/j.jbankfin.2025.107499","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"179 ","pages":"Article 107499"},"PeriodicalIF":3.8,"publicationDate":"2025-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144851862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-16DOI: 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.
{"title":"Hedge fund activism and loan loss provisioning in U.S. banks","authors":"Dmytro Holod , Yuriy Kitsul , Gӧkhan Torna","doi":"10.1016/j.jbankfin.2025.107519","DOIUrl":"10.1016/j.jbankfin.2025.107519","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107519"},"PeriodicalIF":3.6,"publicationDate":"2025-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144711425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-16DOI: 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.
{"title":"Trust in Founders","authors":"Murali Jagannathan , Brett W. Myers , Xu Niu","doi":"10.1016/j.jbankfin.2025.107514","DOIUrl":"10.1016/j.jbankfin.2025.107514","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107514"},"PeriodicalIF":3.6,"publicationDate":"2025-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144661983","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-10DOI: 10.1016/j.jbankfin.2025.107517
Dien Giau Bui , Iftekhar Hasan , Chih-Yung Lin , Ngoc Thuy Mai , Chris Vaike
This paper introduces a novel measure to quantify firms’ sensitivity to shifts in bilateral trade flows between the United States and its trading partners. We exploit the 2016 U.S. presidential election as an exogenous shock to trade policy expectations and assess the stock market reactions of firms across 52 countries. Our findings indicate that firms with higher trade policy sensitivity experienced significantly more negative stock returns surrounding the election. These results are robust to variations in event windows, return model specifications, and alternative estimations of trade policy sensitivity.
{"title":"Trade policy sensitivity and global stock returns: Evidence from the 2016 U.S. Presidential election","authors":"Dien Giau Bui , Iftekhar Hasan , Chih-Yung Lin , Ngoc Thuy Mai , Chris Vaike","doi":"10.1016/j.jbankfin.2025.107517","DOIUrl":"10.1016/j.jbankfin.2025.107517","url":null,"abstract":"<div><div>This paper introduces a novel measure to quantify firms’ sensitivity to shifts in bilateral trade flows between the United States and its trading partners. We exploit the 2016 U.S. presidential election as an exogenous shock to trade policy expectations and assess the stock market reactions of firms across 52 countries. Our findings indicate that firms with higher trade policy sensitivity experienced significantly more negative stock returns surrounding the election. These results are robust to variations in event windows, return model specifications, and alternative estimations of trade policy sensitivity.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107517"},"PeriodicalIF":3.6,"publicationDate":"2025-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144661981","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-10DOI: 10.1016/j.jbankfin.2025.107503
Angelo Baglioni , Luca Colombo , Paola Rossi
When the debt of firms in distress is dispersed, a restructuring agreement may be difficult to reach because of free riding. We develop a repeated game in which banks come across each other frequently, and can threaten a punishment in case of free riding. As the number of lending banks grows, the chance of meeting again a bank and of being punished for free riding increases, improving the likelihood of cooperation. Looking at Italian firms in distress, we find that the estimated restructuring probability, as well as the probability of a positive outcome of financial distress, increases with the number of banks up to a threshold beyond which coordination problems prevail.
{"title":"Debt restructuring with multiple bank relationships","authors":"Angelo Baglioni , Luca Colombo , Paola Rossi","doi":"10.1016/j.jbankfin.2025.107503","DOIUrl":"10.1016/j.jbankfin.2025.107503","url":null,"abstract":"<div><div>When the debt of firms in distress is dispersed, a restructuring agreement may be difficult to reach because of free riding. We develop a repeated game in which banks come across each other frequently, and can threaten a punishment in case of free riding. As the number of lending banks grows, the chance of meeting again a bank and of being punished for free riding increases, improving the likelihood of cooperation. Looking at Italian firms in distress, we find that the estimated restructuring probability, as well as the probability of a positive outcome of financial distress, increases with the number of banks up to a threshold beyond which coordination problems prevail.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107503"},"PeriodicalIF":3.6,"publicationDate":"2025-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-04DOI: 10.1016/j.jbankfin.2025.107508
Takao Asano , Xiaojing Cai , Ryuta Sakemoto
This study investigates the relationships between currency portfolios and market conditions. We incorporate information on cross-sectional foreign exchange (FX) volatility and ambiguity to determine FX market regimes. Unlike previous studies, we find that high FX volatility leads to higher currency carry returns only when FX ambiguity is high, suggesting that investors avoid making trading decisions during these periods. As a result, the unwinding of currency carry trades, which is usually associated with high FX volatility and declining in carry trade returns, does not occur. We also observe that this pattern does not emerge in other currency portfolios.
{"title":"Global foreign exchange volatility, ambiguity, and currency carry trades","authors":"Takao Asano , Xiaojing Cai , Ryuta Sakemoto","doi":"10.1016/j.jbankfin.2025.107508","DOIUrl":"10.1016/j.jbankfin.2025.107508","url":null,"abstract":"<div><div>This study investigates the relationships between currency portfolios and market conditions. We incorporate information on cross-sectional foreign exchange (FX) volatility and ambiguity to determine FX market regimes. Unlike previous studies, we find that high FX volatility leads to higher currency carry returns only when FX ambiguity is high, suggesting that investors avoid making trading decisions during these periods. As a result, the unwinding of currency carry trades, which is usually associated with high FX volatility and declining in carry trade returns, does not occur. We also observe that this pattern does not emerge in other currency portfolios.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107508"},"PeriodicalIF":3.6,"publicationDate":"2025-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144580589","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号