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Firm-initiated stock trading suspension during a market crash 在市场崩溃时公司发起的股票交易暂停
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-05-19 DOI: 10.1016/j.jbankfin.2025.107473
Jennifer Huang , Donghui Shi , Zhongzhi Song , Bin Zhao
{"title":"Firm-initiated stock trading suspension during a market crash","authors":"Jennifer Huang ,&nbsp;Donghui Shi ,&nbsp;Zhongzhi Song ,&nbsp;Bin Zhao","doi":"10.1016/j.jbankfin.2025.107473","DOIUrl":"10.1016/j.jbankfin.2025.107473","url":null,"abstract":"<div><div>We investigate the determinants and effects of firm-initiated trading suspension during the Chinese stock market crash in July 2015. Our findings reveal that firms implemented suspensions to prevent investors’ panic selling, mitigate negative economic feedback, and safeguard specific shareholders’ interests. Once trading resumes, suspended stocks quickly align with the returns of comparable stocks, indicating that investors do not appear to penalize these firms in terms of valuation. Regarding post-resumption trading profits, small individual investors and institutions experience losses, whereas large individual investors and state agencies realize gains.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107473"},"PeriodicalIF":3.6,"publicationDate":"2025-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144105297","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}
引用次数: 0
Crowdedness, mispricing, crashes, and spikes 拥挤、定价错误、崩溃和峰值
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-05-15 DOI: 10.1016/j.jbankfin.2025.107485
Boulis Maher Ibrahim , Iordanis Angelos Kalaitzoglou
{"title":"Crowdedness, mispricing, crashes, and spikes","authors":"Boulis Maher Ibrahim ,&nbsp;Iordanis Angelos Kalaitzoglou","doi":"10.1016/j.jbankfin.2025.107485","DOIUrl":"10.1016/j.jbankfin.2025.107485","url":null,"abstract":"<div><div>This study proposes “reflexive crowdedness” as a mechanism through which order flow can become toxic at ultra-high frequencies (UHFs). Crowdedness, a coordination problem arising from the inability of traders to accurately gauge competition, leads to significant unbalanced mispricing in the form of liquidity costs. This mispricing is amplified by (reflexive) feedforward loops between liquidity and price components and can accumulate rapidly when high-speed traders engage. We develop an empirical framework to examine this mechanism in UHF trading. Results on trades of Dow 30 stocks show that reflexive crowdedness triggers speculative algorithmic trading and drives order flow toxicity and market instability at high frequencies. We formulate a UHF measure of reflexive crowdedness and find it predicts various UHF phenomena, including flash crashes and spikes, more reliably than price volatility and the Volume Synchronised Probability of Informed Trading (VPIN). This makes this measure highly relevant to investors, traders, market operators, and regulators.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107485"},"PeriodicalIF":3.6,"publicationDate":"2025-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144134256","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}
引用次数: 0
Credit rating and stock return comovement
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-05-08 DOI: 10.1016/j.jbankfin.2025.107474
Jianfeng Shen , Huiping Zhang , Weiqi Zhang
{"title":"Credit rating and stock return comovement","authors":"Jianfeng Shen ,&nbsp;Huiping Zhang ,&nbsp;Weiqi Zhang","doi":"10.1016/j.jbankfin.2025.107474","DOIUrl":"10.1016/j.jbankfin.2025.107474","url":null,"abstract":"<div><div>Firms with similar credit ratings, particularly high-yield ones, exhibit strong comovement in stock returns. After a firm is downgraded to high-yield status, it comoves more with other high-yield firms and less with investment-grade ones, a pattern not fully explained by changes in fundamentals or other firm characteristics. We find evidence that suggests the investor clientele explanation for rating-related comovement, potentially arising from heterogeneous lottery preferences. High-yield-averse funds reduce their holdings of firms being downgraded to high-yield status, particularly those that are more lottery-like, much more significantly than high-yield-prone funds. Furthermore, a firm’s stock returns become sensitive to flows into high-yield-prone funds after being downgraded to high-yield status, consistent with the price impact of rating-based category investing.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107474"},"PeriodicalIF":3.6,"publicationDate":"2025-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941184","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}
引用次数: 0
Quantitative easing, uncertainty, and risk aversion 量化宽松、不确定性和风险规避
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-05-07 DOI: 10.1016/j.jbankfin.2025.107475
Leonidas S. Rompolis
{"title":"Quantitative easing, uncertainty, and risk aversion","authors":"Leonidas S. Rompolis","doi":"10.1016/j.jbankfin.2025.107475","DOIUrl":"10.1016/j.jbankfin.2025.107475","url":null,"abstract":"<div><div>This study examines the impact of European Central Bank (ECB) monetary policy surprises on economic uncertainty and investor risk aversion. We identify four factors using a high-frequency event-study approach. These factors measure surprises regarding the current setting of policy rates (Target), the bank’s future policy path (Forward Guidance), and quantitative easing (QE). The fourth factor reflects unexpected news about future macroeconomic conditions. Our main finding is that quantitative tightening surprises, proxied by positive QE surprises, increase economic uncertainty and investor risk aversion. Additionally, we document the significant response of key macroeconomic variables to these surprises.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107475"},"PeriodicalIF":3.6,"publicationDate":"2025-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941185","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}
引用次数: 0
The impact of public corruption on marketplace lending outcomes 公共腐败对市场借贷结果的影响
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-05-05 DOI: 10.1016/j.jbankfin.2025.107472
Abdulkader Kaakeh , Simon C. Parker
{"title":"The impact of public corruption on marketplace lending outcomes","authors":"Abdulkader Kaakeh ,&nbsp;Simon C. Parker","doi":"10.1016/j.jbankfin.2025.107472","DOIUrl":"10.1016/j.jbankfin.2025.107472","url":null,"abstract":"<div><div>This study investigates the impact of public corruption on lending outcomes in the context of Marketplace Lending (MPL) platforms such as LendingClub. Utilizing data on over one million loans and state-level corruption metrics from the US Department of Justice, this research uniquely examines within-country variations in corruption. Our findings reveal a significant correlation between public corruption and loan defaults, with a 3 % increase in default rates per unit increase in corruption. Interest rates also rise by 9 basis points under similar conditions. These effects persist across various model specifications and robustness checks. We demonstrate that trust mediates the relationship between corruption and loan defaults, and that neither governance nor enforcement explains the observed impacts. This study contributes to the literature by linking corruption to individual financial behavior in fintech lending, highlighting the crucial role of trust in financial transactions.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107472"},"PeriodicalIF":3.6,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144098875","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}
引用次数: 0
Quality of political information and return predictability: Evidence from investor sentiment and risk aversion 政治信息的质量和回报的可预测性：来自投资者情绪和风险厌恶的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-28 DOI: 10.1016/j.jbankfin.2025.107469
Jędrzej Białkowski , Xiaopeng Wei
{"title":"Quality of political information and return predictability: Evidence from investor sentiment and risk aversion","authors":"Jędrzej Białkowski ,&nbsp;Xiaopeng Wei","doi":"10.1016/j.jbankfin.2025.107469","DOIUrl":"10.1016/j.jbankfin.2025.107469","url":null,"abstract":"<div><div>In this study, we examine how political information quality influences the predictive effects of investor sentiment and risk aversion on stock market returns. Our analysis reveals that low-quality information significantly diminishes the predictive power of investor sentiment while amplifying that of risk aversion. Moreover, incorporating a proxy for political information quality into predictive regression models significantly enhances their explanatory power. Overall, our results provide compelling evidence that the quality of information plays a critical role in shaping the dynamics of financial markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107469"},"PeriodicalIF":3.6,"publicationDate":"2025-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144084401","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}
引用次数: 0
Private Equity Fund Performance: A Time-Series Approach 私募股权基金业绩：时间序列方法
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-28 DOI: 10.1016/j.jbankfin.2025.107470
Apollon Fragkiskos , Olga Krasotkina , Harold D. Spilker III , Russ Wermers
{"title":"Private Equity Fund Performance: A Time-Series Approach","authors":"Apollon Fragkiskos ,&nbsp;Olga Krasotkina ,&nbsp;Harold D. Spilker III ,&nbsp;Russ Wermers","doi":"10.1016/j.jbankfin.2025.107470","DOIUrl":"10.1016/j.jbankfin.2025.107470","url":null,"abstract":"<div><div>We introduce an estimator that measures factor exposures and alphas of <em>individual</em> private equity funds, with minimal assumptions about the fund return data-generating process (DGP). Simulations using varying assumptions about the DGP indicate that our estimator exhibits lower mean-squared-error (bias plus variance) than competing time-series estimators. Applying our model to a newly available commercial dataset, PitchBook, we uncover new findings of economic importance: buyout managers have higher average skill levels than claimed by past studies; portfolios are marked with forward-looking and lagged multiples of factors; and skill and systematic exposures vary significantly over time.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107470"},"PeriodicalIF":3.6,"publicationDate":"2025-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144168605","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}
引用次数: 0
The real side of black swans: Tail risk and corporate investment 黑天鹅的真实一面：尾部风险和企业投资
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-26 DOI: 10.1016/j.jbankfin.2025.107468
Jun Yuan , Liuyong Yang , Qi Xu
{"title":"The real side of black swans: Tail risk and corporate investment","authors":"Jun Yuan ,&nbsp;Liuyong Yang ,&nbsp;Qi Xu","doi":"10.1016/j.jbankfin.2025.107468","DOIUrl":"10.1016/j.jbankfin.2025.107468","url":null,"abstract":"<div><div>We investigate the real effects of tail risk on firm-level capital investment. Using an option-implied tail measure, we find that tail risk impedes investment, controlling for investment opportunities and existing uncertainty measures. This relation is stronger for firms with higher tail exposure and crash risk. The tail risk effect is more pronounced for firms with higher investment irreversiblility and demand uncertainty, consistent with the real options mechanism. Corporate resilience built by hedging activities attenuates the effect, while stressed debt financing conditions weaken the resilience and amplify the effect. Tail risk also delays investment spikes. Two instrumental variables enhance the causal interpretation. Overall, we highlight the distinctive role of tail risk in shaping real investment.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107468"},"PeriodicalIF":3.6,"publicationDate":"2025-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143918016","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}
引用次数: 0
Banking market deregulation and firm innovation: Evidence from foreign bank entry 银行市场放松管制与企业创新：来自外资银行进入的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-26 DOI: 10.1016/j.jbankfin.2025.107471
Hua Shang , Yanlin Xing
{"title":"Banking market deregulation and firm innovation: Evidence from foreign bank entry","authors":"Hua Shang ,&nbsp;Yanlin Xing","doi":"10.1016/j.jbankfin.2025.107471","DOIUrl":"10.1016/j.jbankfin.2025.107471","url":null,"abstract":"<div><div>This study investigates the impact of banking market deregulation on firm innovation, focusing on foreign bank entry. Exploiting the staggered deregulation of China’s banking sector to foreign banks following its accession to the World Trade Organization, we find a significant positive relationship between foreign bank entry and firm innovation. We further show that foreign bank entry could promote firm innovation directly by providing more and higher-quality banking services to customers, and indirectly by inducing domestic banks to extend more credit to firms with more soft information, enhancing their capacity to support innovative firms, and generating technology spillovers through an increased presence of foreign-invested firms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107471"},"PeriodicalIF":3.6,"publicationDate":"2025-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143903645","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}
引用次数: 0
Differential effects of macroprudential policy 宏观审慎政策的差异效应
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-25 DOI: 10.1016/j.jbankfin.2025.107456
Nina Biljanovska, Sophia Chen
{"title":"Differential effects of macroprudential policy","authors":"Nina Biljanovska,&nbsp;Sophia Chen","doi":"10.1016/j.jbankfin.2025.107456","DOIUrl":"10.1016/j.jbankfin.2025.107456","url":null,"abstract":"<div><div>We construct a comprehensive dataset linking macroprudential policy instruments to household survey data from European Union countries. We show that two commonly used lender-based macroprudential policy instruments — levy on financial institutions and minimum capital requirement — affect new mortgage loans depending on the household’s income levels. Following higher levies on financial institutions, higher-income households on average experience a larger reduction in mortgage loan size compared to lower-income households. In contrast, following higher minimum capital requirements, lower-income households on average experience a larger reduction in loan size. We provide evidence of the different channels through which these differential effects operate.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107456"},"PeriodicalIF":3.6,"publicationDate":"2025-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143918017","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}
引用次数: 0
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