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Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-29 DOI: 10.1016/j.jbankfin.2024.107343
Yunting Liu , Yandi Zhu
{"title":"Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns","authors":"Yunting Liu ,&nbsp;Yandi Zhu","doi":"10.1016/j.jbankfin.2024.107343","DOIUrl":"10.1016/j.jbankfin.2024.107343","url":null,"abstract":"<div><div>We decompose the idiosyncratic volatility of stock returns into “good” and “bad” volatility components, which are associated with positive and negative returns, respectively. Using firm characteristics, we estimate a cross-sectional model for the expected idiosyncratic good minus bad volatility (EIGMB). The EIGMB outperforms expected idiosyncratic skewness (EISKEW) and standard time-series models in capturing conditional idiosyncratic return asymmetry. EIGMB is negatively and significantly associated with future stock returns, even after controlling for EIKSEW and exposure to systematic-skewness-related factors. Separating the role each specific characteristic plays in driving the predictive power of EIGMB for returns, we find that return on equity and momentum are two important elements of variation in EIGMB.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107343"},"PeriodicalIF":3.6,"publicationDate":"2024-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142759052","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
Forecasting the realized variance in the presence of intraday periodicity 预测存在日内周期性的已实现方差
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-23 DOI: 10.1016/j.jbankfin.2024.107342
Ana Maria H. Dumitru , Rodrigo Hizmeri , Marwan Izzeldin
{"title":"Forecasting the realized variance in the presence of intraday periodicity","authors":"Ana Maria H. Dumitru ,&nbsp;Rodrigo Hizmeri ,&nbsp;Marwan Izzeldin","doi":"10.1016/j.jbankfin.2024.107342","DOIUrl":"10.1016/j.jbankfin.2024.107342","url":null,"abstract":"<div><div>This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted HAR model, HARP, where predictors are constructed from the periodicity-filtered data. We demonstrate empirically (using 30 stocks from various business sectors and the SPY for the period 2000–2020) and via Monte Carlo simulations that the HARP models produce significantly better forecasts across all forecasting horizons. We also show that adjusting for periodicity when estimating the variance risk premium improves return predictability.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107342"},"PeriodicalIF":3.6,"publicationDate":"2024-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142722104","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
FinTech vs. Bank: The impact of lending technology on credit market competition 金融科技与银行：借贷技术对信贷市场竞争的影响
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-20 DOI: 10.1016/j.jbankfin.2024.107338
Konstantinos Serfes , Kejia Wu , Panagiotis Avramidis
{"title":"FinTech vs. Bank: The impact of lending technology on credit market competition","authors":"Konstantinos Serfes ,&nbsp;Kejia Wu ,&nbsp;Panagiotis Avramidis","doi":"10.1016/j.jbankfin.2024.107338","DOIUrl":"10.1016/j.jbankfin.2024.107338","url":null,"abstract":"<div><div>Does the recent proliferation of technology in lending process have an impact on business loan market competition? Using a theoretical model that assumes heterogeneity in lenders’ screening abilities and borrowers’ investment horizons, we show that FinTech (Traditional) lenders primarily supply unsecured (asset-backed) loans to borrowers with short-term (long-term) projects. The model builds on the interplay between screening ability and collateral requirements to characterize the competition between two ex-ante symmetric lenders. Lenders use screening technology and collateral requirements to mitigate competition and restrict the supply of credit through an endogenous segmentation of the loan market. As information technology improves, the effect on credit supply and equilibrium interest rates becomes more nuanced and depends on the market segment. The results offer a supply-side explanation for the growth of unsecured lending.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107338"},"PeriodicalIF":3.6,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142722105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Revenue alignment with the EU taxonomy regulation in developed markets
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-20 DOI: 10.1016/j.jbankfin.2024.107339
Alexander Bassen , Othar Kordsachia , Kerstin Lopatta , Weiqiang Tan
{"title":"Revenue alignment with the EU taxonomy regulation in developed markets","authors":"Alexander Bassen ,&nbsp;Othar Kordsachia ,&nbsp;Kerstin Lopatta ,&nbsp;Weiqiang Tan","doi":"10.1016/j.jbankfin.2024.107339","DOIUrl":"10.1016/j.jbankfin.2024.107339","url":null,"abstract":"<div><div>This article provides first evidence on the capital market effects of the EU Taxonomy Regulation (TR). The TR introduced a new classification scheme to identify companies with environmentally sustainable economic activities. The results offer support for a significant estimated TR alignment premium, compatible with the interpretation that investors already apply the TR and allocate capital to TR-aligned companies. This effect strengthens with an increase in investor attention. We also find significant cross-sectional variation in abnormal stock returns surrounding the publication date of the TR conditional on the degree of estimated TR alignment. Traditional ESG ratings cannot explain the TR premium.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107339"},"PeriodicalIF":3.6,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142748185","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Have ratings become more accurate?
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-16 DOI: 10.1016/j.jbankfin.2024.107337
Zvika Afik , Koresh Galil
{"title":"Have ratings become more accurate?","authors":"Zvika Afik ,&nbsp;Koresh Galil","doi":"10.1016/j.jbankfin.2024.107337","DOIUrl":"10.1016/j.jbankfin.2024.107337","url":null,"abstract":"<div><div>Prior studies indicate that rating agencies have adopted more stringent rating criteria over time. In this paper, we hypothesize that improvements in rating accuracy can explain some of these observed patterns. We present empirical evidence supporting this hypothesis, demonstrating that enhancements in rating methodologies have resulted in better default prediction. Our analysis also reveals that, over time, ratings have become more closely aligned with accounting fundamentals and a market-based measure of default risk (distance-to-default). These findings provide a fresh perspective on the factors influencing changes in credit rating standards and emphasize the significance of methodological advancements in credit risk assessment. This research introduces the novel argument that enhancing rating accuracy is an economic rationale for long-term rating trends. The findings underscore the continued importance of credit ratings despite criticisms, suggesting that ratings remain a valuable tool for investors.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107337"},"PeriodicalIF":3.6,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142748184","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
National culture of secrecy and stock price synchronicity: Cross-country evidence 国家保密文化与股价同步性：跨国证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-15 DOI: 10.1016/j.jbankfin.2024.107341
Chrysovalantis Gaganis , George N. Leledakis , Fotios Pasiouras , Emmanouil G. Pyrgiotakis
{"title":"National culture of secrecy and stock price synchronicity: Cross-country evidence","authors":"Chrysovalantis Gaganis ,&nbsp;George N. Leledakis ,&nbsp;Fotios Pasiouras ,&nbsp;Emmanouil G. Pyrgiotakis","doi":"10.1016/j.jbankfin.2024.107341","DOIUrl":"10.1016/j.jbankfin.2024.107341","url":null,"abstract":"<div><div>This study investigates the relationship between the culture of secrecy and stock price comovement using a large sample of firms in 49 countries over the period 1990 to 2019. We find that stock prices in secretive societies comove more than stock prices in less secretive societies. This higher comovement occurs primarily because idiosyncratic volatility is lower. We attribute this finding to cultural biases in secretive societies which deter investors’ information-seeking behavior. To support these conjectures, we provide evidence of stronger mean reversals (less informed trading) in these societies. Our results persist when we account for cross-country differences in firms’ liquidity and information asymmetry, and when we control for cash flow uncertainty. Finally, the enforcement of insider trading laws in secretive countries is associated with less privately informed trading and lower idiosyncratic volatility.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107341"},"PeriodicalIF":3.6,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701968","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
Economic policy uncertainty and corporate bond liquidity 经济政策不确定性与公司债券流动性
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-15 DOI: 10.1016/j.jbankfin.2024.107340
Jeffrey R. Black , Nirmol Das , Diego Leal
{"title":"Economic policy uncertainty and corporate bond liquidity","authors":"Jeffrey R. Black ,&nbsp;Nirmol Das ,&nbsp;Diego Leal","doi":"10.1016/j.jbankfin.2024.107340","DOIUrl":"10.1016/j.jbankfin.2024.107340","url":null,"abstract":"<div><div>We find that elevated economic policy uncertainty (EPU) is associated with reductions in corporate bond dealer inventories and worsening liquidity, suggesting bond dealers react to increased inventory risk by reducing their capital commitments and compensating themselves via increased transaction costs. A one standard deviation increase in EPU is associated with a 2.19% widening in bid-ask spreads, 2.36% increase in Amihud illiquidity, and 3.38% reduction in average inventories. This effect is greater for bonds issued by firms with direct exposure to government policy, and less pronounced in small firms, illiquid bonds, and calmer markets, suggesting that EPU affects bond liquidity more when macroeconomic, but not idiosyncratic, factors are the primary determinant of bond risk.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107340"},"PeriodicalIF":3.6,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142700846","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
Experimenting with financial professionals 与金融专业人员进行试验
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-14 DOI: 10.1016/j.jbankfin.2024.107329
Christoph Huber , Christian König-Kersting , Matteo M. Marini
{"title":"Experimenting with financial professionals","authors":"Christoph Huber ,&nbsp;Christian König-Kersting ,&nbsp;Matteo M. Marini","doi":"10.1016/j.jbankfin.2024.107329","DOIUrl":"10.1016/j.jbankfin.2024.107329","url":null,"abstract":"<div><div>As key players in financial markets and the broader industry, financial professionals are increasingly used as experimental research participants. We review over 50 studies comparing financial professionals to laypeople and conduct meta-analyses of 22 eligible studies spanning from 1986 to 2023. Our findings reveal persistent and robust support for financial professionals being more risk-loving, but little evidence of superior forecasting accuracy. Further analyses indicate that larger monetary payments result in greater behavioral differences between financial professionals and laypeople, suggesting an increased susceptibility to incentives among professionals. This systematic review not only synthesizes experimental results, contributing to recent discussions about external validity and generalizability, but also highlights critical methodological considerations when experimenting with financial professionals.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107329"},"PeriodicalIF":3.6,"publicationDate":"2024-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701965","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique ETF是否会增加其相关资产的连动性？转换 ETF 复制技术的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-13 DOI: 10.1016/j.jbankfin.2024.107333
Thomas Marta , Fabrice Riva
{"title":"Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique","authors":"Thomas Marta ,&nbsp;Fabrice Riva","doi":"10.1016/j.jbankfin.2024.107333","DOIUrl":"10.1016/j.jbankfin.2024.107333","url":null,"abstract":"<div><div>We investigate the impact of Exchange-Traded Funds (ETFs) on the comovements of their constituent securities using a novel identification that exploits the switch from synthetic to physical replication of a large French ETF. After the switch, constituent stocks experience greater commonality, in both returns and liquidity. For both the full sample of ETF constituents and the least liquid ETF constituents, a larger part of the variation in individual stock returns or liquidity is explained by market-wide variations. We present evidence that ETF creation and redemption is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107333"},"PeriodicalIF":3.6,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701966","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Three decades of failed bank acquisitions 三十年来失败的银行收购
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-10 DOI: 10.1016/j.jbankfin.2024.107336
Laima Spokeviciute , Hossein Jahanshahloo , Kevin Keasey , Francesco Vallascas
{"title":"Three decades of failed bank acquisitions","authors":"Laima Spokeviciute ,&nbsp;Hossein Jahanshahloo ,&nbsp;Kevin Keasey ,&nbsp;Francesco Vallascas","doi":"10.1016/j.jbankfin.2024.107336","DOIUrl":"10.1016/j.jbankfin.2024.107336","url":null,"abstract":"<div><div>Using more than 30 years of data, we document that the acquisition of failed US commercial banks through FDIC-managed Purchase and Assumption (P&amp;A) transactions leads to long-term improvements in the profitability and loan risk of the combined entity and has no detrimental effects on its capital adequacy. These results are generally stronger for transactions with greater potential for economies of scale and efficiency gains. Furthermore, geographic similarity in the branch network of the acquirer and the target marginally improves the profitability of the combined entity, while a greater business similarity between the merged banks has no effect on deal outcomes. Additional tests show that the presence of regulatory subsidies also improves the profitability of the combined entity. Finally, we find no support for theoretical predictions about the misallocation of failed bank assets in the presence of widespread failures in local markets. Our findings are important for the understanding of the consequences of bank resolution through assisted M&amp;As.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107336"},"PeriodicalIF":3.6,"publicationDate":"2024-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142654688","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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