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The short-duration premium and news announcements 短期溢价和新闻公告
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-21 DOI: 10.1016/j.jbankfin.2025.107445
Heiner Beckmeyer, Paul Meyerhof
{"title":"The short-duration premium and news announcements","authors":"Heiner Beckmeyer,&nbsp;Paul Meyerhof","doi":"10.1016/j.jbankfin.2025.107445","DOIUrl":"10.1016/j.jbankfin.2025.107445","url":null,"abstract":"<div><div>We study the dynamics of the short-duration premium around pre-scheduled news announcements. For macroeconomic news, long-duration stocks earn higher returns than short-duration stocks. On the flip side, returns for short-duration stocks are significantly elevated on earnings announcement days. Focusing on earnings announcement as a laboratory for the pricing of firm-specific news, we differentiate between four competing explanations. We find strong support for the idea that investors are overly optimistic about long-term cash-flows, leading to an overvaluation of long-duration stocks. This overvaluation is in part corrected at earnings announcements, explaining the lower return response of long- compared to short-duration stocks. We also present empirical evidence against the three competing explanations, and show that the effect is not present in the corporate bond market.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107445"},"PeriodicalIF":3.6,"publicationDate":"2025-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143868650","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
Borrowing on the wrong side of the tracks: Evidence from mortgage loan discontinuities 错误的借贷：来自抵押贷款不连续性的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-17 DOI: 10.1016/j.jbankfin.2025.107438
Anthony W. Orlando, Gerd Welke
{"title":"Borrowing on the wrong side of the tracks: Evidence from mortgage loan discontinuities","authors":"Anthony W. Orlando,&nbsp;Gerd Welke","doi":"10.1016/j.jbankfin.2025.107438","DOIUrl":"10.1016/j.jbankfin.2025.107438","url":null,"abstract":"<div><div>How much does the liquidity of the secondary market matter for the pricing of the housing market? In this paper, we investigate a discontinuity in the supply of mortgages called the “conforming loan limit.” Mortgage loans smaller than this limit are eligible to be purchased by Fannie Mae and Freddie Mac—and therefore, they are more easily underwritten and more readily supplied by lenders. Using county-level variation in this limit and a border discontinuity model with transaction-level data, we estimate that a 10% increase in this limit leads to a 3% to 4% increase in housing prices. We identify the transmission mechanism primarily at the intensive margins, as the higher conforming loan limit leads to larger individual loans and therefore a greater volume of total lending. We show evidence that this effect is likely driven by greater availability, rather than lower interest pricing, of conforming loans.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107438"},"PeriodicalIF":3.6,"publicationDate":"2025-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143864581","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
Micro-assessment of macroprudential borrower-based measures 基于借款人的宏观审慎措施的微观评估
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-15 DOI: 10.1016/j.jbankfin.2025.107455
Mantas Dirma , Jaunius Karmelavičius
{"title":"Micro-assessment of macroprudential borrower-based measures","authors":"Mantas Dirma ,&nbsp;Jaunius Karmelavičius","doi":"10.1016/j.jbankfin.2025.107455","DOIUrl":"10.1016/j.jbankfin.2025.107455","url":null,"abstract":"<div><div>This paper presents an assessment of macroprudential borrower-based measures (BBMs). Despite such measures being in place, several countries saw renewed increases in house prices and indebtedness when rates were low after the Global Financial Crisis. Against this background, we develop a novel modeling framework that allows to explore the link between multiple BBM limits and lifetime credit risk parameters. While our analysis is based on Lithuania’s household loan data, we draw three general lessons that have broader implications. First, we find that BBMs significantly reduce individual mortgage credit risk, thereby providing aggregate resilience. Second, our model indicates that the stance of an income-based measure, specifically the DSTI limit, may have been loose during the low-rate era, highlighting a potential weakness of the tool. Third, we provide empirical evidence supporting more stringent regulation of investor loans and propose a calibration approach.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107455"},"PeriodicalIF":3.6,"publicationDate":"2025-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143843191","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 long-term effects of bank bailouts on corporate financing policies 银行救助对企业融资政策的长期影响
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-12 DOI: 10.1016/j.jbankfin.2025.107454
Nobuyuki Kanazawa
{"title":"The long-term effects of bank bailouts on corporate financing policies","authors":"Nobuyuki Kanazawa","doi":"10.1016/j.jbankfin.2025.107454","DOIUrl":"10.1016/j.jbankfin.2025.107454","url":null,"abstract":"<div><div>This study examines the long-term effects of the 1990s Japanese bank bailouts on borrower firms’ financing policies. Using a two-way fixed effects model on data from Japanese banks and listed companies, I find that these interventions significantly influenced firms’ financial strategies. Firms associated with banks that received bailouts exhibited persistent increases in their long-term debt-to-asset ratios and decreases in their cash-to-asset ratios. The effects diverged between zombie and non-zombie firms: while non-zombie firms exhibited minimal capital structure changes, zombie firms demonstrated pronounced increases in long-term debt ratios, decreases in cash ratios and retained earnings, and were more likely to maintain relationships with their main banks. These findings suggest that bank bailouts can influence capital allocation patterns, potentially favoring less efficient zombie firms, with implications for economic efficiency and financial stability.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107454"},"PeriodicalIF":3.6,"publicationDate":"2025-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143825502","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
CEO relative age at school entry and corporate risk-taking CEO入学年龄与企业风险的关系
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-11 DOI: 10.1016/j.jbankfin.2025.107457
Junru Guo , Jia He , Sibo Liu , Yonglin Wang
{"title":"CEO relative age at school entry and corporate risk-taking","authors":"Junru Guo ,&nbsp;Jia He ,&nbsp;Sibo Liu ,&nbsp;Yonglin Wang","doi":"10.1016/j.jbankfin.2025.107457","DOIUrl":"10.1016/j.jbankfin.2025.107457","url":null,"abstract":"<div><div>We investigate the effect of CEO relative age, an early-life measure defined as age relative to others in the same school cohort determined by the cutoff date policy at primary school entry, on corporate risk-taking. We base our analysis on the arguable randomness of managers’ birth months and a novel data set containing the birth month information of 2,595 CEOs from 1,011 Chinese listed firms. We find that firms with “relatively older” CEOs, i.e., those who were older than their classmates at school entry, compared with firms with “relatively younger” CEOs, have greater volatility in their profitability and stock returns, use debt financing more aggressively, engage in more diversifying and value-destroying acquisitions, and experience deteriorating performance. The results are robust to a battery of alternative specifications.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107457"},"PeriodicalIF":3.6,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143838164","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
How prevalent are short squeezes? Evidence from the US and Europe 短期挤压有多普遍？来自美国和欧洲的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-11 DOI: 10.1016/j.jbankfin.2025.107436
Franklin Allen , Marlene Haas , Matteo Pirovano , Angel Tengulov
{"title":"How prevalent are short squeezes? Evidence from the US and Europe","authors":"Franklin Allen ,&nbsp;Marlene Haas ,&nbsp;Matteo Pirovano ,&nbsp;Angel Tengulov","doi":"10.1016/j.jbankfin.2025.107436","DOIUrl":"10.1016/j.jbankfin.2025.107436","url":null,"abstract":"<div><div>We develop a novel measure to identify short squeezes triggered by sharp price increases. These “market squeezes” drive short sellers to close their positions early. To provide a comprehensive analysis of short squeeze dynamics, we also examine lender squeezes, identified through share recalls. We find that stock-day short-squeeze events are rare and short-lived. However, the quarterly proportion of unique stocks experiencing market squeezes is 9.9% (12.3%) in the US (EU), compared to 8.7% (5.4%), for lender squeezes. Our analysis shows that market and lender squeezes are driven by different determinants. We find that market squeezes impair price discovery, consistent with significant declines in short interest after these events. This contrasts with lender squeezes, after which short interest remains stable or increases, and price discovery remains unaffected.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107436"},"PeriodicalIF":3.6,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143854425","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
Government ownership of banks and corporate maturity mismatch: Evidence from China 政府对银行的持股与公司期限错配：来自中国的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-10 DOI: 10.1016/j.jbankfin.2025.107458
Xiaotian Ma , Guanchun Liu , Yuanyuan Liu , Feng He
{"title":"Government ownership of banks and corporate maturity mismatch: Evidence from China","authors":"Xiaotian Ma ,&nbsp;Guanchun Liu ,&nbsp;Yuanyuan Liu ,&nbsp;Feng He","doi":"10.1016/j.jbankfin.2025.107458","DOIUrl":"10.1016/j.jbankfin.2025.107458","url":null,"abstract":"<div><div>In the 1990s and the 2000s, many urban credit cooperatives in China were reformed to city commercial banks with the introduction of government ownership. We exploit this bank ownership reform as a quasi-natural experiment to evaluate its impact on corporate maturity mismatch. We find that local firms reduced reliance on short-term debt for investments by obtaining greater long-term credit. The reduction of corporate maturity mismatch is more pronounced if the city has fewer financial resources, or if the firm has greater financial constraints, R&amp;D intensity, or market competition. Local firms’ capital allocation efficiency also increased. Our findings highlight the positive effect of government ownership in enhancing liquidity and promoting growth.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107458"},"PeriodicalIF":3.6,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143838165","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 state-dependent impact of changes in bank capital requirements 银行资本要求变化对国家的影响
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-09 DOI: 10.1016/j.jbankfin.2025.107439
Jan Hannes Lang , Dominik Menno
{"title":"The state-dependent impact of changes in bank capital requirements","authors":"Jan Hannes Lang ,&nbsp;Dominik Menno","doi":"10.1016/j.jbankfin.2025.107439","DOIUrl":"10.1016/j.jbankfin.2025.107439","url":null,"abstract":"<div><div>Based on a non-linear structural banking sector model, we show that the impact of changes in bank capital requirements on lending is strongly state-dependent. When banks make profits or maintain voluntary capital buffers, the impact on lending works through a “pricing channel” which is small: 0.1% less loans for a 1pp capital requirement increase. When banks are capital-constrained, the impact on lending works through a “quantity channel” which is large: 10% more loans for a 1pp capital requirement reduction. Our results provide a theoretical justification for building up a positive neutral countercyclical capital buffer in “normal” macro-financial environments.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107439"},"PeriodicalIF":3.6,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143820875","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
Peer-to-peer lending: Shift of pricing regime and changes in risk sensitivity p2p借贷：定价机制的转变和风险敏感性的变化
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-09 DOI: 10.1016/j.jbankfin.2025.107459
Jiakai Chen , Wei Huang , Xinruo Wang
{"title":"Peer-to-peer lending: Shift of pricing regime and changes in risk sensitivity","authors":"Jiakai Chen ,&nbsp;Wei Huang ,&nbsp;Xinruo Wang","doi":"10.1016/j.jbankfin.2025.107459","DOIUrl":"10.1016/j.jbankfin.2025.107459","url":null,"abstract":"<div><div>We investigate the changes in risk sensitivities of interest rates following a shift in Prosper.com's pricing mechanism from auctions to posted prices. We find that the shift leads to reduced sensitivities of loan pricing to credit risk. Furthermore, this change results in higher profits for the platform while investors receive less compensation for the credit risk they undertake. Additionally, borrowers encounter less credit rationing. Analyses of repeat borrowers under both pricing regimes and tests with data under Prosper's upgraded posted prices confirm these findings. We argue that less risk-based pricing results from the incentives of the lending platform.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107459"},"PeriodicalIF":3.6,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143851747","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
Sell-side analysts and mutual fund managers: Complements or substitutes? 卖方分析师和共同基金经理：互补还是替代？
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-04-09 DOI: 10.1016/j.jbankfin.2025.107446
Haerang Park , Byungmin Oh
{"title":"Sell-side analysts and mutual fund managers: Complements or substitutes?","authors":"Haerang Park ,&nbsp;Byungmin Oh","doi":"10.1016/j.jbankfin.2025.107446","DOIUrl":"10.1016/j.jbankfin.2025.107446","url":null,"abstract":"<div><div>We examine whether analyst coverage and mutual fund trades are complements or substitutes in the course of information incorporation into stock prices. Our empirical evidence indicates that they are complementary. Clustered trades in stocks with low analyst coverage is associated with a subsequent return reversal, which is more pronounced among less actively managed mutual funds. Mutual fund herding under low analyst coverage also amplifies future stock price crash risk through decreased corporate disclosure quality. These negative effects of mutual fund herding are not apparent for stocks with high analyst coverage. To address potential endogeneity concerns, we conduct additional tests using brokerage firm mergers and closures as exogenous shocks to analyst coverage and find consistent results. Our findings highlight the role of analysts in mitigating price-destabilizing herding behavior of mutual funds.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107446"},"PeriodicalIF":3.6,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143843192","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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