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Lending discrimination and the role of community banks 贷款歧视与社区银行的作用
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-08-30 DOI: 10.1111/jfir.12435
Arthur M. Tran, Drew B. Winters
{"title":"Lending discrimination and the role of community banks","authors":"Arthur M. Tran,&nbsp;Drew B. Winters","doi":"10.1111/jfir.12435","DOIUrl":"10.1111/jfir.12435","url":null,"abstract":"<p>First-time minority borrowers often receive less desirable outcomes than first-time White borrowers. Relationship lenders, who use both hard information and soft (community) information about new borrowers, can gain insights into a borrower's creditworthiness even without an existing bank–borrower relationship and provide more loan opportunities for new minority borrowers than transactional lenders. Our results show that borrowing from a relationship lender reduces lending outcome discrepancies between new minority borrowers and new White borrowers, not only in loan acceptance rates but also in borrower perceptions. These results suggest that borrowers' soft information is an important part of relationship lenders' decision-making process.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1185-1217"},"PeriodicalIF":2.1,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204855","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Deposit flows and the January effect in deposit rates 存款流量和存款利率的一月效应
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-08-27 DOI: 10.1111/jfir.12430
Vladimir Kotomin, Artem Meshcheryakov
{"title":"Deposit flows and the January effect in deposit rates","authors":"Vladimir Kotomin,&nbsp;Artem Meshcheryakov","doi":"10.1111/jfir.12430","DOIUrl":"10.1111/jfir.12430","url":null,"abstract":"<p>Noninterest-bearing deposits (NIBDs) flow out of U.S. banks in January and February. Banks respond to this seasonal outflow by increasing interest-bearing deposit (IBD) rates. We document that branch-level deposit spreads are 4 to 11 basis points higher in January than in December. Increasing rates works as banks replace four-fifths of the lost NIBDs with IBDs. We also find that, following NIBD outflows, banks resist cutting lending but pass the increases in the cost of funds onto borrowers. Banks do cut lending in response to total deposit outflows, but only in the pre-crisis period.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1278-1314"},"PeriodicalIF":2.1,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204843","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The impact of changing disclosure requirements, competition, and private capital on firm exit methods and premiums 不断变化的披露要求、竞争和私人资本对企业退出方式和溢价的影响
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-08-26 DOI: 10.1111/jfir.12431
James C. Brau, Ninon K. Sutton, Qiancheng Zheng
{"title":"The impact of changing disclosure requirements, competition, and private capital on firm exit methods and premiums","authors":"James C. Brau,&nbsp;Ninon K. Sutton,&nbsp;Qiancheng Zheng","doi":"10.1111/jfir.12431","DOIUrl":"10.1111/jfir.12431","url":null,"abstract":"<p>Changing disclosure requirements and the evolution of US markets in the 21st century have created historic shifts in the exit strategies and payoffs for private firms. The propensity to sell to an acquirer has dominated firm exits in recent decades, especially for smaller private firms in highly concentrated industries. Exceptions to the merger exit preference are venture capital-backed firms, which exhibit an enduring preference for IPOs, likely due to the reputation effects associated with this strategy. While the premium for IPO exits has exceeded that for M&amp;A exits in the past, we document a reversal in this pricing trend: in more recent years firms that sell out earn higher risk-adjusted premiums than firms that conduct IPOs. Our empirical tests examine potential drivers of this effect. We believe we are the first to document this reversal in the economics of the exit decision.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"673-699"},"PeriodicalIF":1.5,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Time-Series Factor Modeling and Selection 时间序列因子建模与选择
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-08-22 DOI: 10.1111/jfir.12429
Michael Michaelides
{"title":"Time-Series Factor Modeling and Selection","authors":"Michael Michaelides","doi":"10.1111/jfir.12429","DOIUrl":"10.1111/jfir.12429","url":null,"abstract":"<p>The article proposes a statistical time-series factor model that incorporates deterministic orthogonal trend polynomials. Such polynomials allow capturing variation in returns without initially identifying a set of robust time-series factors. This modeling approach can serve as a coherent basis for testing and selecting the most relevant factors among a set of possible ones. Additionally, it can help identify whether any factors are missing from a time-series asset pricing model. The use of the proposed model and empirical strategy is illustrated by two empirical applications from the literature, yielding results related to the Fama-French five-factor model and the factor zoo.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"839-875"},"PeriodicalIF":1.5,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12429","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do traders overweight experience from first movers? 贸易商是否从先行者那里获得了过多的经验？
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-08-07 DOI: 10.1111/jfir.12427
Naomi Boyd, Shenru Li
{"title":"Do traders overweight experience from first movers?","authors":"Naomi Boyd,&nbsp;Shenru Li","doi":"10.1111/jfir.12427","DOIUrl":"10.1111/jfir.12427","url":null,"abstract":"<p>We examine empirically how trading by peers on a new platform influences others' adoption decisions. We model the adoption process and find the relation to be U-shaped, with first movers greatly discouraging their peers from adoption and late movers slightly discouraging or encouraging their peers. Further analysis shows that the U-shape is explained by social transmission bias rather than profitability.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"905-922"},"PeriodicalIF":1.5,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141949380","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Treasury auction method and underpricing: Evidence from Iceland 国债拍卖方法与定价不足：冰岛的证据
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-08-07 DOI: 10.1111/jfir.12428
Antoine Noel, Mark Wu
{"title":"Treasury auction method and underpricing: Evidence from Iceland","authors":"Antoine Noel,&nbsp;Mark Wu","doi":"10.1111/jfir.12428","DOIUrl":"10.1111/jfir.12428","url":null,"abstract":"<p>The Central Bank of Iceland replaced the discriminatory method used for auctioning treasury securities with the uniform-price method in 2009. We analyze underpricing before and after this institutional reform with a sample of 516 auctions organized from 2000 to 2018. After controlling for auction characteristics and financial market conditions, we find that underpricing is lower under the uniform-price method. However, this underpricing decline does not translate into a reduction in sovereign issuance cost. The emergence of overpricing, observed in the late part of our sample, coincides with the growing importance of commissions paid to primary dealers. Our results provide practical implications for governments, regulators, and market participants.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"725-756"},"PeriodicalIF":1.5,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141949379","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Insider trading restriction enforcement, investor protection, and innovation 内幕交易限制的执行、投资者保护和创新
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-08-01 DOI: 10.1111/jfir.12426
D. Brian Blank, Jiawei Chen, Valeriya Posylnaya
{"title":"Insider trading restriction enforcement, investor protection, and innovation","authors":"D. Brian Blank,&nbsp;Jiawei Chen,&nbsp;Valeriya Posylnaya","doi":"10.1111/jfir.12426","DOIUrl":"10.1111/jfir.12426","url":null,"abstract":"<p>US Securities and Exchange Commission (SEC) enforcement actions are intended to protect investors and limit expropriation by firm insiders, but these SEC actions could affect insiders' incentives to contribute to value-enhancing activities. Therefore, we explore how corporate innovation and performance respond to insider trading restrictions imposed by regulators and firms. Using manually collected data on SEC indictments against corporate insiders, we document more innovative activity following external insider trading restrictions. External restrictions are also followed by higher corporate investment, capital access, and operating performance. Similarly, internal blackout restrictions to insider trading are linked to more innovation as well. We use SEC and congressional rule changes as quasi-natural experiments resulting in shocks in enforcement and indictments for identification and inference. Our results suggest insider trading restrictions and enforcement actions affect subsequent firm activities and managerial decisions by protecting outside investment, resulting in more investment in innovation.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"431-472"},"PeriodicalIF":1.5,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141880662","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mutual fund partial liquidation and future performance 共同基金部分清算与未来业绩
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-23 DOI: 10.1111/jfir.12425
George Jiang, Ping McLemore, Ao Wang
{"title":"Mutual fund partial liquidation and future performance","authors":"George Jiang,&nbsp;Ping McLemore,&nbsp;Ao Wang","doi":"10.1111/jfir.12425","DOIUrl":"10.1111/jfir.12425","url":null,"abstract":"<p>We examine the determinants of mutual fund partial liquidation and the effect of a negative shock to fund size on performance. We find that older funds from a smaller family with a large number of share classes are more likely to conduct partial liquidation. As fund size decreases after partial liquidation, its performance improves. This effect is more pronounced for funds with stronger pre-event liquidity constraint and funds that subsequently experience a larger decrease in liquidity, suggesting that liquidity constraint is a contributing factor of fund performance. These findings are consistent with mutual funds having decreasing returns to scale.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"757-784"},"PeriodicalIF":1.5,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141770613","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Artificial intelligence innovation and stock price crash risk 人工智能创新与股价暴跌风险
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-17 DOI: 10.1111/jfir.12424
Junru Zhang, Chen Cui, Chen Zheng, Grantley Taylor
{"title":"Artificial intelligence innovation and stock price crash risk","authors":"Junru Zhang,&nbsp;Chen Cui,&nbsp;Chen Zheng,&nbsp;Grantley Taylor","doi":"10.1111/jfir.12424","DOIUrl":"10.1111/jfir.12424","url":null,"abstract":"<p>This study examines the association between artificial intelligence innovation (AII) and stock price crash risk (SPCR). AII serves as a governance mechanism that can bolster strength in internal controls, leading to increased financial transparency and thereby reducing the likelihood of future SPCR. The results hold after accounting for possible endogeneity issues Further, we find that monitoring through corporate governance mechanisms, level of following by equity analysts, and the reduced information asymmetry constitute important channels that mediate the association between AII and SPCR. Additionally, the relationship between AII and SPCR varies across corporate life cycle stages and workplace culture.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"503-543"},"PeriodicalIF":1.5,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12424","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141742383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The taxonomy of tail risk 尾部风险分类法
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-09 DOI: 10.1111/jfir.12423
Evarist Stoja, Arnold Polanski, Linh H. Nguyen
{"title":"The taxonomy of tail risk","authors":"Evarist Stoja,&nbsp;Arnold Polanski,&nbsp;Linh H. Nguyen","doi":"10.1111/jfir.12423","DOIUrl":"10.1111/jfir.12423","url":null,"abstract":"<p>We use tail events at different levels of severity to define an asset's tail risk and to decompose the latter into a systematic and an idiosyncratic component. The systematic component captures an asset's tendency to experience joint tail losses with the market and generalizes a classic tail dependence coefficient. However, the idiosyncratic component consists of two parts: idiosyncratic tail risk that leads to asset-specific tail losses and tail risk cushioning that dampens the tail losses emanating from the market. Tail risk cushioning is a novel concept that arises naturally in our framework, is consistent with the previous two and completes the taxonomy of tail risk. We examine the performance of our tail risk decomposition on a large dataset, confirming some previous results on tail risk and uncovering new theoretical and empirical findings.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"701-724"},"PeriodicalIF":1.5,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12423","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141586998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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