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Housing markets: Auctions, granular shocks, and microstructure frictions 房地产市场：拍卖、颗粒冲击和微观结构摩擦
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-20 DOI: 10.1016/j.jbankfin.2025.107553
Alina Arefeva
{"title":"Housing markets: Auctions, granular shocks, and microstructure frictions","authors":"Alina Arefeva","doi":"10.1016/j.jbankfin.2025.107553","DOIUrl":"10.1016/j.jbankfin.2025.107553","url":null,"abstract":"<div><div>This paper examines the drivers of housing market volatility through dynamic search-and-matching models that incorporate auctions. Two versions of the model are developed: one in which buyers visit homes randomly and another where search is directed by seller reserve prices. The analysis demonstrates that granular shocks and microstructure frictions—arising from the interaction of idiosyncratic and infrequent transactions, search frictions, and auctions-based pricing—generate persistent volatility, even in large markets such as Los Angeles. The paper also identifies systematic weekly patterns in housing activity, which account for up to 60% of monthly variation in sales and listings due to calendar composition. Recognizing and filtering out these predictable fluctuations ensures that the model targets economically meaningful sources of volatility. Together, granular shocks, microstructure frictions, and weekly patterns explain 70%–80% of sales and listings volatility, with the remainder driven by exogenous shocks. These findings underscore the importance of auctions, granular shocks, microstructure frictions, and weekly patterns in understanding housing market dynamics.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107553"},"PeriodicalIF":3.8,"publicationDate":"2025-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145158326","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
Unencumbered by style: Why do funds change factor loadings, and does it help? 不受风格影响：为什么基金会改变因子负载，这有帮助吗？
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-19 DOI: 10.1016/j.jbankfin.2025.107544
Ting Bai , Jens Hilscher , Anna Scherbina
{"title":"Unencumbered by style: Why do funds change factor loadings, and does it help?","authors":"Ting Bai ,&nbsp;Jens Hilscher ,&nbsp;Anna Scherbina","doi":"10.1016/j.jbankfin.2025.107544","DOIUrl":"10.1016/j.jbankfin.2025.107544","url":null,"abstract":"<div><div>We show that, rather than maintaining a constant style, active equity funds alter their factor loadings over time. Style changes are larger following quarters in which funds either substantially under- or out-perform other funds based on returns or fund flows, which is explained by managers both not correcting the resulting passive style drift and deliberately reallocating a portion of the portfolio. Motivated by this observation, we identify a new measure of manager skill, which we call “tactical investment skill.” It captures a manager’s ex-ante observable ability to increase future returns through loadings changes. We show that high-skill managers outperform their low-skill peers in the following month in terms of raw returns and alphas. This outperformance is more pronounced following quarters with large loadings changes.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"181 ","pages":"Article 107544"},"PeriodicalIF":3.8,"publicationDate":"2025-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145160422","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 stock market impact of volatility hedging: Evidence from end-of-day trading by VIX ETPs 波动率套期保值对股市的影响：来自波动率指数交易所交易产品日末交易的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-17 DOI: 10.1016/j.jbankfin.2025.107556
Christine Bangsgaard, Thomas Kokholm
{"title":"The stock market impact of volatility hedging: Evidence from end-of-day trading by VIX ETPs","authors":"Christine Bangsgaard,&nbsp;Thomas Kokholm","doi":"10.1016/j.jbankfin.2025.107556","DOIUrl":"10.1016/j.jbankfin.2025.107556","url":null,"abstract":"<div><div>VIX futures market makers can hedge their volatility exposure by trading SPX options and futures. We use the daily VIX futures demand by VIX ETP issuers as an estimate of the end-of-day shock to market makers’ net position and find that the demand impacts the SPX futures market in the direction consistent with the VIX futures hedging channel. The VIX ETP demand is a strong predictor of the end-of-day SPX futures return in-sample and out-of-sample. We find evidence of a subsequent reversal, suggesting that VIX futures hedging activities can move the SPX futures market for reasons unrelated to price discovery.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107556"},"PeriodicalIF":3.8,"publicationDate":"2025-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145096487","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
Option price asymmetry, speculation and stock short-sale cost 期权价格不对称，投机和股票卖空成本
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-16 DOI: 10.1016/j.jbankfin.2025.107539
Jiantao Ma , Yuanyi Zhang
{"title":"Option price asymmetry, speculation and stock short-sale cost","authors":"Jiantao Ma ,&nbsp;Yuanyi Zhang","doi":"10.1016/j.jbankfin.2025.107539","DOIUrl":"10.1016/j.jbankfin.2025.107539","url":null,"abstract":"<div><div>We introduce <em>implied variance asymmetry</em> (<span><math><mrow><mi>I</mi><mi>V</mi><mi>A</mi></mrow></math></span>) — the weighted difference between out-of-the-money call and put option prices — as a predictor of cross-sectional option returns. We find that <span><math><mrow><mi>I</mi><mi>V</mi><mi>A</mi></mrow></math></span> negatively predicts future delta-hedged call returns and positively predicts future delta-hedged put returns. These predictive relationships reflect distinct investor behaviors: retail investors drive the overpricing of high-<span><math><mrow><mi>I</mi><mi>V</mi><mi>A</mi></mrow></math></span> call options through speculative demand, whereas informed short-sellers bid up prices of low-<span><math><mrow><mi>I</mi><mi>V</mi><mi>A</mi></mrow></math></span> puts as substitutes for constrained stock short-selling. Furthermore, stocks and put options characterized by low <span><math><mrow><mi>I</mi><mi>V</mi><mi>A</mi></mrow></math></span> and high short-sale costs experience significantly lower subsequent excess returns. This pattern suggests that low-<span><math><mrow><mi>I</mi><mi>V</mi><mi>A</mi></mrow></math></span> put buyers pay a premium and they correctly anticipate future stock price declines. In contrast, high-<span><math><mrow><mi>I</mi><mi>V</mi><mi>A</mi></mrow></math></span> call options exhibit temporary mispricing driven by uninformed speculation, which rapidly reverses.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107539"},"PeriodicalIF":3.8,"publicationDate":"2025-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145118572","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
Variation in the value of active share across regions of investments: Evidence from global equity funds 投资区域内活跃份额价值的变化：来自全球股票基金的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 DOI: 10.1016/j.jbankfin.2025.107545
Markus Broman , Jon Fulkerson
{"title":"Variation in the value of active share across regions of investments: Evidence from global equity funds","authors":"Markus Broman ,&nbsp;Jon Fulkerson","doi":"10.1016/j.jbankfin.2025.107545","DOIUrl":"10.1016/j.jbankfin.2025.107545","url":null,"abstract":"<div><div>Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107545"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145049697","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
Is the more the merrier? Buyers’ onsite viewing activities and housing search outcomes 人越多越好吗？买家的现场观看活动和房屋搜索结果
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-08-29 DOI: 10.1016/j.jbankfin.2025.107543
Maggie Rong Hu , Weida Kuang , Xiaoyang Li , Yang Shi
{"title":"Is the more the merrier? Buyers’ onsite viewing activities and housing search outcomes","authors":"Maggie Rong Hu ,&nbsp;Weida Kuang ,&nbsp;Xiaoyang Li ,&nbsp;Yang Shi","doi":"10.1016/j.jbankfin.2025.107543","DOIUrl":"10.1016/j.jbankfin.2025.107543","url":null,"abstract":"<div><div>This study investigates the underexplored role of onsite viewing activities in the housing search process. By incorporating buyer heterogeneity into the housing search model of Courant (1978), we show that buyers with higher private valuations tend to view more properties onsite and ultimately pay higher prices. Utilising a proprietary dataset from the largest real estate agency in Beijing, our analysis reveals that increased onsite viewings significantly enhance both the likelihood of a transaction and the final purchase price. We establish causality by employing an instrumental variable approach that leverages exogenous variations in heavy pollution and rainfall, which hinder buyers’ ability to conduct onsite house viewings. More intensive onsite viewings raise transaction price as they reveal a buyer’s higher private valuation to the seller. Besides, onsite viewings also function through reducing information asymmetry and improving match quality.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107543"},"PeriodicalIF":3.8,"publicationDate":"2025-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145049696","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
Assessing the bank lending channel of macroprudential policy: Evidence from the loan-to-deposit ratio regulation in Korea 宏观审慎政策对银行借贷渠道的评估：来自韩国存贷比监管的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-08-26 DOI: 10.1016/j.jbankfin.2025.107541
JaeBin Ahn , Youngju Kim , Hyunjoon Lim
{"title":"Assessing the bank lending channel of macroprudential policy: Evidence from the loan-to-deposit ratio regulation in Korea","authors":"JaeBin Ahn ,&nbsp;Youngju Kim ,&nbsp;Hyunjoon Lim","doi":"10.1016/j.jbankfin.2025.107541","DOIUrl":"10.1016/j.jbankfin.2025.107541","url":null,"abstract":"<div><div>This paper studies the impact of the loan-to-deposit (LTD) ratio regulation – a specific macroprudential policy instrument introduced in Korea – on bank-level lending supply and the subsequent firm-level real consequences. The bank-firm-level matched loan data reveals that small and medium enterprises (SMEs) were particularly hit by adverse lending supply shocks from banks with higher pre-regulation LTD ratios. However, they were compensated by new loans extended by banks with lower pre-regulation LTD ratios as well as unregulated non-bank financial institutions (NBFIs). After all, the regulation did not result in adverse consequences on firm-level net credit or real performance, possibly at the cost of rising corporate loans extended by the shadow banking system.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107541"},"PeriodicalIF":3.8,"publicationDate":"2025-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144913001","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
A new leadership share measure for price discovery 一个新的领导份额的价格发现措施
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-08-26 DOI: 10.1016/j.jbankfin.2025.107527
Donald Lien , Brian Roseman , Yanlin Shi
{"title":"A new leadership share measure for price discovery","authors":"Donald Lien ,&nbsp;Brian Roseman ,&nbsp;Yanlin Shi","doi":"10.1016/j.jbankfin.2025.107527","DOIUrl":"10.1016/j.jbankfin.2025.107527","url":null,"abstract":"<div><div>We propose a new measure of price discovery, New Leadership Share (NLS), that attributes permanent information flow to individual markets using a uniquely identified structural moving average model. NLS quantifies each market’s contribution to permanent price innovations as a proportion of total informational leadership and offers key technical advantages, including uniqueness and adherence to standard statistical asymptotics. We derive closed-form solutions and analytical standard errors for bivariate markets and provide a framework that extends naturally to multiple markets without the variable ordering problem. Simulation results show that NLS consistently outperforms three widely used benchmarks. Empirical analysis of 2023 data finds that exchange-traded funds and front-month futures markets share equal leadership relative to the S&amp;P 500 spot index.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107527"},"PeriodicalIF":3.8,"publicationDate":"2025-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144916259","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
Media tone is a priced risk factor in currency markets 媒体语气是外汇市场的一个定价风险因素
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-08-22 DOI: 10.1016/j.jbankfin.2025.107542
Heikki Lehkonen , Kari Heimonen , Kuntara Pukthuanthong
{"title":"Media tone is a priced risk factor in currency markets","authors":"Heikki Lehkonen ,&nbsp;Kari Heimonen ,&nbsp;Kuntara Pukthuanthong","doi":"10.1016/j.jbankfin.2025.107542","DOIUrl":"10.1016/j.jbankfin.2025.107542","url":null,"abstract":"<div><div>Media tone constructed from 7000,000 articles from 2000 global media and 800 social media sites is found to be a genuine risk factor that cross-sectionally prices currencies. It can predict excess US dollar returns for up to six months and surpasses the no-change benchmark in predicting returns out of sample. Its predicted value contains information beyond those predicted by currency factors and business cycles. Evidence corroborates with the theory that Media tone increases investment returns, has pronounced predictive power for the currencies associated with hard-to-value characteristics, and that its predictive power increases with the number of news sources. Trading of rational investors, including banks, is associated with Media tone.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107542"},"PeriodicalIF":3.8,"publicationDate":"2025-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144997121","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
Wash trading and insider sales in NFT markets NFT市场的内幕交易和内幕交易
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-08-22 DOI: 10.1016/j.jbankfin.2025.107529
Shirui Wang , Nieyan Cheng , Tianyang Zhang
{"title":"Wash trading and insider sales in NFT markets","authors":"Shirui Wang ,&nbsp;Nieyan Cheng ,&nbsp;Tianyang Zhang","doi":"10.1016/j.jbankfin.2025.107529","DOIUrl":"10.1016/j.jbankfin.2025.107529","url":null,"abstract":"<div><div>With the recent evolution of the cryptocurrency market, financial misconduct has become a major concern. Using on-chain data from the 500 most traded NFT (non-fungible token) collections, this study investigates wash trading in NFT markets. We first detect suspicious wash trades that form closed loops and then validate the prices of these trades using Benford’s Law. Excluding token-incentivized wash trades, we propose a conceptual model and argue that collusion between wash traders and insiders is the primary motivation of wash trading. Empirical analysis reveals that insiders tend to sell during or shortly after wash trading. This manipulation creates a pump-and-dump effect, causing losses for buyers during the pump phase. Our research reveals the underlying mechanisms of such misconduct and highlights the need for regulation in the cryptocurrency market.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"180 ","pages":"Article 107529"},"PeriodicalIF":3.8,"publicationDate":"2025-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144913000","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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