Journal of Banking & Finance最新文献

{"title":"Easing of borrower-based measures: Evidence from Czech loan-level data","authors":"Martin Hodula ,&nbsp;Lukáš Pfeifer ,&nbsp;Ngoc Anh Ngo","doi":"10.1016/j.jbankfin.2025.107489","DOIUrl":"10.1016/j.jbankfin.2025.107489","url":null,"abstract":"<div><div>We analyze the impact of easing borrower-based measures on residential mortgage credit and borrower characteristics in the Czech Republic in early 2020. This easing included a relaxation of the LTV limit and the abolition of the DTI and DSTI limits. Our findings indicate that affected households increased borrowing, purchased more expensive houses, and accepted lower collateral values. Borrowers' debt service burdens rose but were offset by income growth. We find that: (i) LTV-constrained borrowers exhibited cash-retention behavior, while DTI- and DSTI-constrained borrowers aligned with the financial accelerator motive; (ii) LTV relaxation had a greater effect in poorer counties, while the abolition of DTI and DSTI limits affected richer regions; (iii) younger borrowers were more impacted by LTV and DTI easing, whereas DSTI easing influenced older borrowers; and (iv) LTV relaxation primarily affected first-time borrowers, while the abolition of DTI and DSTI limits impacted repeat borrowers, who obtained larger mortgages and purchased more expensive properties.</div><div>We analyze the impact of easing borrower-based measures on residential mortgage credit and borrower characteristics in the Czech Republic in early 2020. This easing included a relaxation of the LTV limit and the abolition of the DTI and DSTI limits. Our findings indicate that affected households increased borrowing, purchased more expensive houses, and accepted lower collateral values. Borrowers' debt service burdens rose but were offset by income growth. We find that: (i) LTV-constrained borrowers exhibited cash-retention behavior, while DTI- and DSTI-constrained borrowers aligned with the financial accelerator motive; (ii) LTV relaxation had a greater effect in poorer counties, while the abolition of DTI and DSTI limits affected richer regions; (iii) younger borrowers were more impacted by LTV and DTI easing, whereas DSTI easing influenced older borrowers; and (iv) LTV relaxation primarily affected first-time borrowers, while the abolition of DTI and DSTI limits impacted repeat borrowers, who obtained larger mortgages and purchased more expensive properties.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107489"},"PeriodicalIF":3.6,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144253838","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}

{"title":"Firm-initiated stock trading suspension during a market crash","authors":"Jennifer Huang ,&nbsp;Donghui Shi ,&nbsp;Zhongzhi Song ,&nbsp;Bin Zhao","doi":"10.1016/j.jbankfin.2025.107473","DOIUrl":"10.1016/j.jbankfin.2025.107473","url":null,"abstract":"<div><div>We investigate the determinants and effects of firm-initiated trading suspension during the Chinese stock market crash in July 2015. Our findings reveal that firms implemented suspensions to prevent investors’ panic selling, mitigate negative economic feedback, and safeguard specific shareholders’ interests. Once trading resumes, suspended stocks quickly align with the returns of comparable stocks, indicating that investors do not appear to penalize these firms in terms of valuation. Regarding post-resumption trading profits, small individual investors and institutions experience losses, whereas large individual investors and state agencies realize gains.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107473"},"PeriodicalIF":3.6,"publicationDate":"2025-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144105297","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}

{"title":"Crowdedness, mispricing, crashes, and spikes","authors":"Boulis Maher Ibrahim ,&nbsp;Iordanis Angelos Kalaitzoglou","doi":"10.1016/j.jbankfin.2025.107485","DOIUrl":"10.1016/j.jbankfin.2025.107485","url":null,"abstract":"<div><div>This study proposes “reflexive crowdedness” as a mechanism through which order flow can become toxic at ultra-high frequencies (UHFs). Crowdedness, a coordination problem arising from the inability of traders to accurately gauge competition, leads to significant unbalanced mispricing in the form of liquidity costs. This mispricing is amplified by (reflexive) feedforward loops between liquidity and price components and can accumulate rapidly when high-speed traders engage. We develop an empirical framework to examine this mechanism in UHF trading. Results on trades of Dow 30 stocks show that reflexive crowdedness triggers speculative algorithmic trading and drives order flow toxicity and market instability at high frequencies. We formulate a UHF measure of reflexive crowdedness and find it predicts various UHF phenomena, including flash crashes and spikes, more reliably than price volatility and the Volume Synchronised Probability of Informed Trading (VPIN). This makes this measure highly relevant to investors, traders, market operators, and regulators.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107485"},"PeriodicalIF":3.6,"publicationDate":"2025-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144134256","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}

{"title":"Erratum to “Corporate voluntary disclosure via WeChat” [Journal of Banking & Finance 176 (2025)/107393]","authors":"Ying Li ,&nbsp;Qianqian Huang ,&nbsp;Tao Yuan","doi":"10.1016/j.jbankfin.2025.107476","DOIUrl":"10.1016/j.jbankfin.2025.107476","url":null,"abstract":"","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107476"},"PeriodicalIF":3.6,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144221381","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}

{"title":"Credit rating and stock return comovement","authors":"Jianfeng Shen ,&nbsp;Huiping Zhang ,&nbsp;Weiqi Zhang","doi":"10.1016/j.jbankfin.2025.107474","DOIUrl":"10.1016/j.jbankfin.2025.107474","url":null,"abstract":"<div><div>Firms with similar credit ratings, particularly high-yield ones, exhibit strong comovement in stock returns. After a firm is downgraded to high-yield status, it comoves more with other high-yield firms and less with investment-grade ones, a pattern not fully explained by changes in fundamentals or other firm characteristics. We find evidence that suggests the investor clientele explanation for rating-related comovement, potentially arising from heterogeneous lottery preferences. High-yield-averse funds reduce their holdings of firms being downgraded to high-yield status, particularly those that are more lottery-like, much more significantly than high-yield-prone funds. Furthermore, a firm’s stock returns become sensitive to flows into high-yield-prone funds after being downgraded to high-yield status, consistent with the price impact of rating-based category investing.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107474"},"PeriodicalIF":3.6,"publicationDate":"2025-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941184","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}

{"title":"Quantitative easing, uncertainty, and risk aversion","authors":"Leonidas S. Rompolis","doi":"10.1016/j.jbankfin.2025.107475","DOIUrl":"10.1016/j.jbankfin.2025.107475","url":null,"abstract":"<div><div>This study examines the impact of European Central Bank (ECB) monetary policy surprises on economic uncertainty and investor risk aversion. We identify four factors using a high-frequency event-study approach. These factors measure surprises regarding the current setting of policy rates (Target), the bank’s future policy path (Forward Guidance), and quantitative easing (QE). The fourth factor reflects unexpected news about future macroeconomic conditions. Our main finding is that quantitative tightening surprises, proxied by positive QE surprises, increase economic uncertainty and investor risk aversion. Additionally, we document the significant response of key macroeconomic variables to these surprises.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107475"},"PeriodicalIF":3.6,"publicationDate":"2025-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941185","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}

{"title":"The impact of public corruption on marketplace lending outcomes","authors":"Abdulkader Kaakeh ,&nbsp;Simon C. Parker","doi":"10.1016/j.jbankfin.2025.107472","DOIUrl":"10.1016/j.jbankfin.2025.107472","url":null,"abstract":"<div><div>This study investigates the impact of public corruption on lending outcomes in the context of Marketplace Lending (MPL) platforms such as LendingClub. Utilizing data on over one million loans and state-level corruption metrics from the US Department of Justice, this research uniquely examines within-country variations in corruption. Our findings reveal a significant correlation between public corruption and loan defaults, with a 3 % increase in default rates per unit increase in corruption. Interest rates also rise by 9 basis points under similar conditions. These effects persist across various model specifications and robustness checks. We demonstrate that trust mediates the relationship between corruption and loan defaults, and that neither governance nor enforcement explains the observed impacts. This study contributes to the literature by linking corruption to individual financial behavior in fintech lending, highlighting the crucial role of trust in financial transactions.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107472"},"PeriodicalIF":3.6,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144098875","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}

{"title":"Quality of political information and return predictability: Evidence from investor sentiment and risk aversion","authors":"Jędrzej Białkowski ,&nbsp;Xiaopeng Wei","doi":"10.1016/j.jbankfin.2025.107469","DOIUrl":"10.1016/j.jbankfin.2025.107469","url":null,"abstract":"<div><div>In this study, we examine how political information quality influences the predictive effects of investor sentiment and risk aversion on stock market returns. Our analysis reveals that low-quality information significantly diminishes the predictive power of investor sentiment while amplifying that of risk aversion. Moreover, incorporating a proxy for political information quality into predictive regression models significantly enhances their explanatory power. Overall, our results provide compelling evidence that the quality of information plays a critical role in shaping the dynamics of financial markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107469"},"PeriodicalIF":3.6,"publicationDate":"2025-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144084401","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}

{"title":"Private Equity Fund Performance: A Time-Series Approach","authors":"Apollon Fragkiskos ,&nbsp;Olga Krasotkina ,&nbsp;Harold D. Spilker III ,&nbsp;Russ Wermers","doi":"10.1016/j.jbankfin.2025.107470","DOIUrl":"10.1016/j.jbankfin.2025.107470","url":null,"abstract":"<div><div>We introduce an estimator that measures factor exposures and alphas of <em>individual</em> private equity funds, with minimal assumptions about the fund return data-generating process (DGP). Simulations using varying assumptions about the DGP indicate that our estimator exhibits lower mean-squared-error (bias plus variance) than competing time-series estimators. Applying our model to a newly available commercial dataset, PitchBook, we uncover new findings of economic importance: buyout managers have higher average skill levels than claimed by past studies; portfolios are marked with forward-looking and lagged multiples of factors; and skill and systematic exposures vary significantly over time.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107470"},"PeriodicalIF":3.6,"publicationDate":"2025-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144168605","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}

{"title":"The real side of black swans: Tail risk and corporate investment","authors":"Jun Yuan ,&nbsp;Liuyong Yang ,&nbsp;Qi Xu","doi":"10.1016/j.jbankfin.2025.107468","DOIUrl":"10.1016/j.jbankfin.2025.107468","url":null,"abstract":"<div><div>We investigate the real effects of tail risk on firm-level capital investment. Using an option-implied tail measure, we find that tail risk impedes investment, controlling for investment opportunities and existing uncertainty measures. This relation is stronger for firms with higher tail exposure and crash risk. The tail risk effect is more pronounced for firms with higher investment irreversiblility and demand uncertainty, consistent with the real options mechanism. Corporate resilience built by hedging activities attenuates the effect, while stressed debt financing conditions weaken the resilience and amplify the effect. Tail risk also delays investment spikes. Two instrumental variables enhance the causal interpretation. Overall, we highlight the distinctive role of tail risk in shaping real investment.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"176 ","pages":"Article 107468"},"PeriodicalIF":3.6,"publicationDate":"2025-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143918016","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}