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Social media-based attention and the cross-section of cryptocurrency returns 基于社交媒体的关注和加密货币回报的横截面
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-19 DOI: 10.1016/j.jbankfin.2025.107518
Arnaud T. Maître, Nikolay Pugachyov, Florian Weigert
{"title":"Social media-based attention and the cross-section of cryptocurrency returns","authors":"Arnaud T. Maître,&nbsp;Nikolay Pugachyov,&nbsp;Florian Weigert","doi":"10.1016/j.jbankfin.2025.107518","DOIUrl":"10.1016/j.jbankfin.2025.107518","url":null,"abstract":"<div><div>This paper investigates how investors’ abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our results reveal that abnormal attention is positively associated with contemporaneous and one-day ahead crypto performance. Among the different Twitter tweets, return predictability arises due to <em>Ticker</em>-tweets from investors, but not due to tweets from the cryptocurrency channel. These <em>Official</em>-tweets, however, are able to forecast technological innovations on the blockchain.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107518"},"PeriodicalIF":3.6,"publicationDate":"2025-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686411","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
Social connections and bank deposits 社会关系和银行存款
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-18 DOI: 10.1016/j.jbankfin.2025.107506
Sean Flynn , Jing Wang
{"title":"Social connections and bank deposits","authors":"Sean Flynn ,&nbsp;Jing Wang","doi":"10.1016/j.jbankfin.2025.107506","DOIUrl":"10.1016/j.jbankfin.2025.107506","url":null,"abstract":"<div><div>We show that household social connections transmit shocks that influence bank deposits. We find that counties experience an increase in bank deposits when they are more socially connected to counties affected by natural disasters. This effect is not driven by physical proximity, large disasters that attract significant media coverage, or other cross-county channels, including multimarket bank branch networks, population migration, or economic connections. Banks that collect deposits in highly socially-connected counties experience high deposit volatility, but geographic diversification reduces the volatility associated with depositor social connectedness.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107506"},"PeriodicalIF":3.6,"publicationDate":"2025-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686408","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
Trust in Founders 信任创始人
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-16 DOI: 10.1016/j.jbankfin.2025.107514
Murali Jagannathan , Brett W. Myers , Xu Niu
{"title":"Trust in Founders","authors":"Murali Jagannathan ,&nbsp;Brett W. Myers ,&nbsp;Xu Niu","doi":"10.1016/j.jbankfin.2025.107514","DOIUrl":"10.1016/j.jbankfin.2025.107514","url":null,"abstract":"<div><div>Do employees trust founders more than professional managers? We explore this question with employee actions that are indicative of their distrust in management. We document significant differences in unionization efforts, labor strikes, and unfair labor practice (ULP) complaints between founder-managed firms and professionally managed firms. We posit that these differences stem from the predictability of corporate culture in founder firms and the alignment of interests between founders and employees. Although we employ various methods to establish causation, drawing definitive conclusions regarding employee trust in management is challenging due to the vastly different characteristics of founder-led firms compared to professionally managed firms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107514"},"PeriodicalIF":3.6,"publicationDate":"2025-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144661983","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
Trade policy sensitivity and global stock returns: Evidence from the 2016 U.S. Presidential election 贸易政策敏感性与全球股市回报：来自2016年美国总统大选的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-10 DOI: 10.1016/j.jbankfin.2025.107517
Dien Giau Bui , Iftekhar Hasan , Chih-Yung Lin , Ngoc Thuy Mai , Chris Vaike
{"title":"Trade policy sensitivity and global stock returns: Evidence from the 2016 U.S. Presidential election","authors":"Dien Giau Bui ,&nbsp;Iftekhar Hasan ,&nbsp;Chih-Yung Lin ,&nbsp;Ngoc Thuy Mai ,&nbsp;Chris Vaike","doi":"10.1016/j.jbankfin.2025.107517","DOIUrl":"10.1016/j.jbankfin.2025.107517","url":null,"abstract":"<div><div>This paper introduces a novel measure to quantify firms’ sensitivity to shifts in bilateral trade flows between the United States and its trading partners. We exploit the 2016 U.S. presidential election as an exogenous shock to trade policy expectations and assess the stock market reactions of firms across 52 countries. Our findings indicate that firms with higher trade policy sensitivity experienced significantly more negative stock returns surrounding the election. These results are robust to variations in event windows, return model specifications, and alternative estimations of trade policy sensitivity.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107517"},"PeriodicalIF":3.6,"publicationDate":"2025-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144661981","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
Debt restructuring with multiple bank relationships 与多家银行关系的债务重组
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-10 DOI: 10.1016/j.jbankfin.2025.107503
Angelo Baglioni , Luca Colombo , Paola Rossi
{"title":"Debt restructuring with multiple bank relationships","authors":"Angelo Baglioni ,&nbsp;Luca Colombo ,&nbsp;Paola Rossi","doi":"10.1016/j.jbankfin.2025.107503","DOIUrl":"10.1016/j.jbankfin.2025.107503","url":null,"abstract":"<div><div>When the debt of firms in distress is dispersed, a restructuring agreement may be difficult to reach because of free riding. We develop a repeated game in which banks come across each other frequently, and can threaten a punishment in case of free riding. As the number of lending banks grows, the chance of meeting again a bank and of being punished for free riding increases, improving the likelihood of cooperation. Looking at Italian firms in distress, we find that the estimated restructuring probability, as well as the probability of a positive outcome of financial distress, increases with the number of banks up to a threshold beyond which coordination problems prevail.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107503"},"PeriodicalIF":3.6,"publicationDate":"2025-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686409","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
Global foreign exchange volatility, ambiguity, and currency carry trades 全球外汇波动、模糊性和货币套息交易
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-04 DOI: 10.1016/j.jbankfin.2025.107508
Takao Asano , Xiaojing Cai , Ryuta Sakemoto
{"title":"Global foreign exchange volatility, ambiguity, and currency carry trades","authors":"Takao Asano ,&nbsp;Xiaojing Cai ,&nbsp;Ryuta Sakemoto","doi":"10.1016/j.jbankfin.2025.107508","DOIUrl":"10.1016/j.jbankfin.2025.107508","url":null,"abstract":"<div><div>This study investigates the relationships between currency portfolios and market conditions. We incorporate information on cross-sectional foreign exchange (FX) volatility and ambiguity to determine FX market regimes. Unlike previous studies, we find that high FX volatility leads to higher currency carry returns only when FX ambiguity is high, suggesting that investors avoid making trading decisions during these periods. As a result, the unwinding of currency carry trades, which is usually associated with high FX volatility and declining in carry trade returns, does not occur. We also observe that this pattern does not emerge in other currency portfolios.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107508"},"PeriodicalIF":3.6,"publicationDate":"2025-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144580589","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
Country financial development and the extension of trade credit by firms with market power 国家金融发展和具有市场力量的公司扩大贸易信贷
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-03 DOI: 10.1016/j.jbankfin.2025.107516
Koresh Galil , Offer Moshe Shapir , Rodrigo Zeidan
{"title":"Country financial development and the extension of trade credit by firms with market power","authors":"Koresh Galil ,&nbsp;Offer Moshe Shapir ,&nbsp;Rodrigo Zeidan","doi":"10.1016/j.jbankfin.2025.107516","DOIUrl":"10.1016/j.jbankfin.2025.107516","url":null,"abstract":"<div><div>Prior research on the impact of market power on firms’ willingness to extend trade credit has produced inconsistent results, highlighting a critical gap in understanding firm behavior. This study addresses this issue by analyzing a comprehensive dataset of industrial firms across 26 countries, focusing on how the relationship between market power and trade credit depends on a country’s financial development level. Firms with monopolistic power often restrict credit provision to improve cash flow. However, our findings reveal a U-shaped relationship, where monopolistic firms in countries with either underdeveloped or highly developed financial sectors are more likely to extend trade credit than those in mid-level financial systems. This highlights the moderating role of financial development in shaping the interaction between market power and trade credit behavior.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107516"},"PeriodicalIF":3.6,"publicationDate":"2025-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144661982","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
Global macro-financial cycles and spillovers 全球宏观金融周期及其溢出效应
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-02 DOI: 10.1016/j.jbankfin.2025.107512
Jongrim Ha , M. Ayhan Kose , Christopher Otrok , Eswar S. Prasad
{"title":"Global macro-financial cycles and spillovers","authors":"Jongrim Ha ,&nbsp;M. Ayhan Kose ,&nbsp;Christopher Otrok ,&nbsp;Eswar S. Prasad","doi":"10.1016/j.jbankfin.2025.107512","DOIUrl":"10.1016/j.jbankfin.2025.107512","url":null,"abstract":"<div><div>We develop a new dynamic factor model to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers from financial variables. We consider cycles in macroeconomic aggregates (output, consumption, and investment) and financial variables (equity and house prices, and interest rates). The global macro factor plays a major role in explaining G-7 business cycles, but there are also discernible spillovers from equity and house price shocks onto macroeconomic aggregates, at least over the past two decades, accounting for up to 17 % of the variation in global business cycle fluctuations. These spillovers operate mainly through the global macro factor rather than the country-specific macro factors (i.e., these spillovers affect business cycles in all G-7 economies), and are stronger for output and investment fluctuations and more prominent in the period leading up to and following the global financial crisis. We find weaker evidence of spillovers from macroeconomic cycles to financial variables, perhaps reflecting the predictive power of global financial markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107512"},"PeriodicalIF":3.6,"publicationDate":"2025-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144614604","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
Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model 大动态协方差矩阵与异质自回归模型的投资组合选择
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-02 DOI: 10.1016/j.jbankfin.2025.107505
Igor Honig, Felix Kircher
{"title":"Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model","authors":"Igor Honig,&nbsp;Felix Kircher","doi":"10.1016/j.jbankfin.2025.107505","DOIUrl":"10.1016/j.jbankfin.2025.107505","url":null,"abstract":"<div><div>We propose a novel framework for modeling large dynamic covariance matrices via heterogeneous autoregressive volatility and correlation components. Our model provides direct forecasts of monthly covariance matrices and is flexible, parsimonious and simple to estimate using standard least squares methods. We address the problem of parameter estimation risks by employing nonlinear shrinkage methods, making our framework applicable in high dimensions. We perform a comprehensive empirical out-of-sample analysis and find significant statistical and economic improvements over common benchmark models. For minimum variance portfolios with over a thousand stocks, the annualized portfolio standard deviation improves to 8.92% compared to 9.75–10.43% for DCC-type models.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107505"},"PeriodicalIF":3.6,"publicationDate":"2025-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144597025","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
Tariff uncertainty and the cost of debt: Evidence from United States–China permanent normal trade relations 关税不确定性与债务成本：来自美中永久正常贸易关系的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-01 DOI: 10.1016/j.jbankfin.2025.107515
Huasheng Gao , Yuxi Wang
{"title":"Tariff uncertainty and the cost of debt: Evidence from United States–China permanent normal trade relations","authors":"Huasheng Gao ,&nbsp;Yuxi Wang","doi":"10.1016/j.jbankfin.2025.107515","DOIUrl":"10.1016/j.jbankfin.2025.107515","url":null,"abstract":"<div><div>We examine the causal effect of tariff uncertainty on firms’ cost of debt. Our tests exploit a unique trade policy that reduces tariff uncertainty on Chinese imports without affecting the actual tariff rate, United States (U.S.)–China permanent normal trade relations (PNTR). We reveal a significant drop in the loan spreads for firms affected by PNTR relative to other firms. We further demonstrate that such effects occur through the channel of increasing firms’ performance predictability. Overall, by examining a clean measure of uncertainty from the tariff source, we provide evidence that reducing uncertainty has a causal effect on reducing the cost of debt.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107515"},"PeriodicalIF":3.6,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144572579","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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