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Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence 做市商限价订单补贴能否改善市场结果？准自然实验证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-10-28 DOI: 10.1016/j.jbankfin.2024.107330
Yiping Lin , Peter L. Swan , Frederick H.de B. Harris
{"title":"Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence","authors":"Yiping Lin ,&nbsp;Peter L. Swan ,&nbsp;Frederick H.de B. Harris","doi":"10.1016/j.jbankfin.2024.107330","DOIUrl":"10.1016/j.jbankfin.2024.107330","url":null,"abstract":"<div><div>We provide a new theory of exchange access fees that explains why fees relatively reduce the probability of execution and increase the limit order queue length on “maker-taker” platforms. Nonetheless, the limit order subsidy greatly improves market depth, together with market efficiency and trading volume. Moreover, fee structures never “wash out” regardless of the minimum tick. The regulatory requirement that trading and order flow depend only on raw (nominal) spreads and prices underpins the multi-billion-dollar subsidy to limit orders. So long as a platform remains competitive, elimination of the fee structure does not alter the raw spread, but it does lower the cum fee spread. We test these implications with a unilateral maker-taker fee/rebate reduction using NASDAQ's “quasi-natural” $1.9 trillion experiment to find support for our theory.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142593439","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
Modeling and pricing credit risk with a focus on recovery risk 信用风险建模和定价，重点是回收风险
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-10-22 DOI: 10.1016/j.jbankfin.2024.107317
Haibo Liu , Qihe Tang
{"title":"Modeling and pricing credit risk with a focus on recovery risk","authors":"Haibo Liu ,&nbsp;Qihe Tang","doi":"10.1016/j.jbankfin.2024.107317","DOIUrl":"10.1016/j.jbankfin.2024.107317","url":null,"abstract":"<div><div>Consider a defaultable bond traded in a financial market that is subject to shocks and regime shifts. Its recovery payment has a hybrid structure, comprising two components: one contingent on historical information up to the time of default, and the other an independent variable indexed by the regime at the time of default. The default intensity, interest rate, and reference rate are assumed to be general deterministic functions of certain state variables, while these state variables jointly follow a jump-diffusion process, with drift and volatility coefficients governed by the regime and with jumps induced by shocks. We construct a risk-neutral pricing measure that prices all risk sources in an integrated manner. A rigorous verification of this pricing measure reveals the corresponding time-dependent market prices of these risk sources. The resulting pricing framework is applicable to most defaultable bonds and credit derivatives.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142561332","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 collateral channel versus the bank lending channel: Evidence from a massive earthquake, 抵押品渠道与银行贷款渠道：大地震的证据、
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-10-11 DOI: 10.1016/j.jbankfin.2024.107315
Iichiro Uesugi , Daisuke Miyakawa , Kaoru Hosono , Arito Ono , Hirofumi Uchida
{"title":"The collateral channel versus the bank lending channel: Evidence from a massive earthquake,","authors":"Iichiro Uesugi ,&nbsp;Daisuke Miyakawa ,&nbsp;Kaoru Hosono ,&nbsp;Arito Ono ,&nbsp;Hirofumi Uchida","doi":"10.1016/j.jbankfin.2024.107315","DOIUrl":"10.1016/j.jbankfin.2024.107315","url":null,"abstract":"<div><div>This paper compares the economic impact of the collateral and bank lending channels in a unified framework by taking advantage of exogenous shocks to firms’ tangible assets and banks’ net worth caused by the massive Tohoku earthquake in 2011. We obtain the following findings: (1) both damage to a firm's tangible assets and to the net worth of its primary bank lead to an increase in the probability of the firm being credit constrained, which lends support to the existence of both the collateral and the bank lending channel; (2) the increase through the bank lending channel is about twice as large as and longer-lasting than that through the collateral channel; (3) the credit constraint has real effects: in terms of the aggregated sales decline, the impact through the bank lending channel is more than four times as large as that through the collateral channel, because the negative impact of damage to banks’ net worth spilled over to firms located outside the earthquake-damaged region. Overall, the bank lending channel played a far more substantial role than the collateral channel in the wake of the earthquake.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142534038","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
The treasury auction risk premium 国债拍卖风险溢价
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-10-10 DOI: 10.1016/j.jbankfin.2024.107316
Patrick Herb
{"title":"The treasury auction risk premium","authors":"Patrick Herb","doi":"10.1016/j.jbankfin.2024.107316","DOIUrl":"10.1016/j.jbankfin.2024.107316","url":null,"abstract":"<div><div>Using a time series asset pricing model, I empirically show that underpricing of U.S. Treasury securities is explained by risk premia that compensate dealers for bearing price risk. This finding suggests that the Treasury could reduce underpricing by reducing the post-auction price risk (volatility) to auction participants, which can be achieved mathematically by reducing the time from auction to settlement. I calculate that underpricing cost the Treasury $46.3 billion from January 2000 through June 2016. I estimate that standardizing the settlement period to 1-day could have saved the Treasury $15.6 billion over the same period. In addition, I use the estimated model to forecast expected risk-adjusted returns (that result from underpricing) for each auction, and find that these forecasts predict Treasury auction demand. This finding suggests that auction demand depends on underpricing, albeit on an expected risk-adjusted basis. Further, this expected underpricing may actually help the Treasury to sell debt and avoid auction failures.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142587337","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
Vulnerable funding in the global economy 全球经济中的脆弱供资
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-29 DOI: 10.1016/j.jbankfin.2024.107314
Helena Chuliá , Ignacio Garrón , Jorge M. Uribe
{"title":"Vulnerable funding in the global economy","authors":"Helena Chuliá ,&nbsp;Ignacio Garrón ,&nbsp;Jorge M. Uribe","doi":"10.1016/j.jbankfin.2024.107314","DOIUrl":"10.1016/j.jbankfin.2024.107314","url":null,"abstract":"<div><div>This study builds on the conceptual framework of vulnerable growth to examine how US financial shocks influence the conditional distribution of real credit growth across a diverse set of countries, a phenomenon we term <em>vulnerable funding</em>. We show that deteriorating US financial conditions are linked to a reduction in real credit growth abroad, with particularly pronounced effects at the lower quantiles of real credit growth abroad. This suggests that, in common with the episodes of vulnerable growth discussed in the extant literature, episodes of vulnerable funding are also triggered globally by financial weakness in the US. However, our analysis reveals significant variation in the impact of US financial shocks across the quantiles of credit growth in countries worldwide. Specifically, countries with lower credit-to-GDP ratios or with higher levels of US investment relative to their GDP exhibit greater real credit growth vulnerability.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142416994","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
Information spillover and cross-predictability of currency returns: An analysis via Machine Learning 信息溢出和货币回报的交叉可预测性：机器学习分析
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-26 DOI: 10.1016/j.jbankfin.2024.107313
Yuecheng Jia , Yuzheng Liu , Yangru Wu , Shu Yan
{"title":"Information spillover and cross-predictability of currency returns: An analysis via Machine Learning","authors":"Yuecheng Jia ,&nbsp;Yuzheng Liu ,&nbsp;Yangru Wu ,&nbsp;Shu Yan","doi":"10.1016/j.jbankfin.2024.107313","DOIUrl":"10.1016/j.jbankfin.2024.107313","url":null,"abstract":"<div><div>This paper documents significant cross-return predictability of news variables, derived from textual analysis of news articles, for a broad cross-section of currencies. By employing forecasts based on the Least Absolute Shrinkage and Selection Operator (<em>LASSO</em>) that incorporate both news variables and forward discounts, we develop a notably profitable trading strategy. This strategy proves robust against transaction costs, risk adjustments, and controls for currency characteristics. Further analyses indicate that both risks and market frictions contribute to the profitability of the trading strategy, highlighting the crucial role of news in financial markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142358042","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
Does firm culture influence corporate financing decisions? Evidence from debt maturity choice 企业文化影响企业融资决策吗？债务期限选择的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-24 DOI: 10.1016/j.jbankfin.2024.107310
Sudip Datta , Trang Doan , Francesca Toscano
{"title":"Does firm culture influence corporate financing decisions? Evidence from debt maturity choice","authors":"Sudip Datta ,&nbsp;Trang Doan ,&nbsp;Francesca Toscano","doi":"10.1016/j.jbankfin.2024.107310","DOIUrl":"10.1016/j.jbankfin.2024.107310","url":null,"abstract":"<div><div>This study establishes a relation between corporate culture and debt maturity choice. Specifically, superior corporate culture is associated with the choice of shorter-term debt, supporting the notion that superior culture reduces managerial agency problems resulting in managers being more receptive to external monitoring through the choice of shorter-term debt. The culture subcomponents of integrity, teamwork, and innovation are found to have a meaningful influence on the debt maturity structure choice. The relation between culture and debt maturity is more pronounced in firms with higher managerial stock ownership and those that are financially constrained, but is weakened in firms with a greater CEO sensitivity to stock prices. Additionally, firms with superior culture are shown to have higher long-term credit ratings. These findings contribute at the confluence of corporate culture and debt financing literatures. A battery of robustness tests, including addressing endogeneity concerns, validate the findings.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142324119","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 rise of ESG rating agencies and management of corporate ESG violations 环境、社会和公司治理（ESG）评级机构的兴起以及对企业环境、社会和公司治理违规行为的管理
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-21 DOI: 10.1016/j.jbankfin.2024.107312
Albert Tsang , Yujie Wang , Yi Xiang , Li Yu
{"title":"The rise of ESG rating agencies and management of corporate ESG violations","authors":"Albert Tsang ,&nbsp;Yujie Wang ,&nbsp;Yi Xiang ,&nbsp;Li Yu","doi":"10.1016/j.jbankfin.2024.107312","DOIUrl":"10.1016/j.jbankfin.2024.107312","url":null,"abstract":"<div><div>In recent years, firms have increasingly come under scrutiny from environmental, social, and governance (ESG) rating agencies which systematically assess and publicize ESG-related information to diverse stakeholders. This study aims to investigate whether firms exhibit a heightened incentive to avoid ESG-related regulatory violations once they come under the coverage of ESG rating agencies. Analyzing data spanning from 2000 to 2018 and considering the coverage provided by four prominent ESG rating agencies to U.S. firms, we leverage the staggered initiation and intensity of this coverage. Our findings reveal a negative correlation between ESG violations and the commencement and extent of coverage by ESG rating agencies. This relationship is particularly pronounced for firms characterized by lower levels of corporate monitoring as indicated by fewer analysts providing coverage, limited media attention, weaker ESG commitments, and less disparate ESG ratings. Taken together, our study sheds light on the monitoring role of ESG rating agencies, illustrating their significance in incentivizing managers to mitigate ESG violations.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142358041","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
Banks incentive pay, diversification and systemic risk 银行激励薪酬、多样化和系统性风险
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-20 DOI: 10.1016/j.jbankfin.2024.107299
Fabio Castiglionesi , Shuo Zhao
{"title":"Banks incentive pay, diversification and systemic risk","authors":"Fabio Castiglionesi ,&nbsp;Shuo Zhao","doi":"10.1016/j.jbankfin.2024.107299","DOIUrl":"10.1016/j.jbankfin.2024.107299","url":null,"abstract":"<div><div>This paper analyzes the impact of incentive pay for bank managers on financial stability. The study focuses on two banks owned by risk-neutral principals but operated by risk-averse managers who decide on leverage and the extent of diversification into the other bank’s assets, both of which determine the systemic risk. To begin, we establish the optimal incentive pay contract assuming a planner seeks to maximize the total value of the banks. In equilibrium, we find that the contract excessively relies on relative performance evaluation, leading to an inefficiently high degree of diversification, leverage, and systemic risk. This outcome obtains even when the principal represents the interests of all stakeholders in an individual bank. We demonstrate that only regulation specifically targeting relative performance evaluation can restore efficiency, while existing regulations on managerial pay can inadvertently amplify systemic risk.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319835","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
The value of say on pay 薪酬决定权的价值
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-19 DOI: 10.1016/j.jbankfin.2024.107311
Axel Kind , Marco Poltera , Johannes Zaia
{"title":"The value of say on pay","authors":"Axel Kind ,&nbsp;Marco Poltera ,&nbsp;Johannes Zaia","doi":"10.1016/j.jbankfin.2024.107311","DOIUrl":"10.1016/j.jbankfin.2024.107311","url":null,"abstract":"<div><div>We measure the impact of “say on pay” (SoP) – mandatory shareholder votes on top-management compensation – on the market value of voting rights. By exploiting the staggered introduction of SoP across 14 economies, we show that SoP does not automatically increase the value of shareholder voting rights. While stricter, binding SoP reforms increase voting values, looser advisory SoP laws decrease them. Firms that do not pay their CEOs excessively experience the largest decreases in voting values. Voting values also reflect a country’s level of investor protection, past dissent in SoP ballots, and dynamically adjust to changes in managerial compensation.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142324118","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
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