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Familiarity breeds day trade 熟悉产生即日交易
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-02-05 DOI: 10.1016/j.jbankfin.2026.107651
Fernando Chague , Bruno Giovannetti , Guilherme Paiva
{"title":"Familiarity breeds day trade","authors":"Fernando Chague ,&nbsp;Bruno Giovannetti ,&nbsp;Guilherme Paiva","doi":"10.1016/j.jbankfin.2026.107651","DOIUrl":"10.1016/j.jbankfin.2026.107651","url":null,"abstract":"<div><div>We document the existence of familiarity bias in day-trading, a popular trading activity among individuals that lasts hours at most. Living in a small city with a firm’s local store more than doubles the likelihood of an individual picking its stock to day-trade. The belief of superior information, a common explanation for the well-known familiarity bias in portfolio holdings, is unlikely to explain the familiarity bias in day trade that we unveil: a single local retail store in a small city could give useful information for day-trading only in truly abnormal events. Our finding suggests a simple mechanism under the familiarity bias: top-of-mind dominance.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107651"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190458","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 evidence on unspanned macro risks in dynamic term structure models 动态期限结构模型中无跨越宏观风险的全球证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-02-03 DOI: 10.1016/j.jbankfin.2026.107656
Michel van der Wel , Yaoyuan Zhang
{"title":"Global evidence on unspanned macro risks in dynamic term structure models","authors":"Michel van der Wel ,&nbsp;Yaoyuan Zhang","doi":"10.1016/j.jbankfin.2026.107656","DOIUrl":"10.1016/j.jbankfin.2026.107656","url":null,"abstract":"<div><div>Using a large cross-section of 22 countries, we analyze whether macro risks are spanned by the yield curve. Our tests show that macro information, both first and second moments, provides additional explanatory power for bond excess returns beyond yield factors, contrary to the spanned model implications. However, when considering in-sample fit and term premium predictions, distinguishing between spanned and unspanned term structure models makes no difference. These findings are robust across the cross-section of countries. We find the strongest out-of-sample predictive power for second moments of macro information for long-term emerging market bonds.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107656"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190457","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 options trading stabilize stock prices? : Evidence from a natural experiment 期权交易能稳定股价吗？来自自然实验的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2025-12-25 DOI: 10.1016/j.jbankfin.2025.107612
Da-Hea Kim
{"title":"Does options trading stabilize stock prices? : Evidence from a natural experiment","authors":"Da-Hea Kim","doi":"10.1016/j.jbankfin.2025.107612","DOIUrl":"10.1016/j.jbankfin.2025.107612","url":null,"abstract":"<div><div>We study the relation between options trading volume and stock price volatility, providing causal evidence that options trading stabilizes underlying stock prices. Exploiting the implementation of the Penny Pilot Program as an exogenous shock to options trading, we find that increased options trading reduces stock price volatility. We identify two mechanisms driving the volatility-reducing effect of options trading: (1) providing a buffer for liquidity shocks to stocks, which mitigates extreme price movements, and (2) correcting mispricing, thereby anchoring stock prices closer to their intrinsic values. Our findings support the beneficial role of options trading in enhancing price stability and efficiency.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107612"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146015805","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
A hidden cost of ETF investing: Retail demand shocks and limits to arbitrage ETF投资的隐性成本：散户需求冲击和套利限制
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-21 DOI: 10.1016/j.jbankfin.2025.107621
Xin Liu, Tianyao (Terry) Zhang, Yaodong Zhang
{"title":"A hidden cost of ETF investing: Retail demand shocks and limits to arbitrage","authors":"Xin Liu,&nbsp;Tianyao (Terry) Zhang,&nbsp;Yaodong Zhang","doi":"10.1016/j.jbankfin.2025.107621","DOIUrl":"10.1016/j.jbankfin.2025.107621","url":null,"abstract":"<div><div>By decomposing close-to-close mid-quote returns of ETFs into their overnight and intraday components, we find that the overnight return is significantly positive, whereas the intraday return is negative. This overnight–intraday return differential is ubiquitous across ETFs tracking different asset classes or assets located in different time zones. This phenomenon cannot be explained by differences in overnight and intraday risks, macroeconomic announcements, or information asymmetry. Instead, our analysis reveals that the return pattern is primarily driven by demand shocks from retail investors and limited supply from arbitrageurs. These results indicate that the convenience of buying ETFs during intraday trading hours carries a hidden cost to investors.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107621"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146090206","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
Air pollution and bank loan pricing 空气污染与银行贷款定价
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-30 DOI: 10.1016/j.jbankfin.2026.107655
Donghui Li , Jian Sun , Rui Xu , Chun Yuan , Liyi Zhu
{"title":"Air pollution and bank loan pricing","authors":"Donghui Li ,&nbsp;Jian Sun ,&nbsp;Rui Xu ,&nbsp;Chun Yuan ,&nbsp;Liyi Zhu","doi":"10.1016/j.jbankfin.2026.107655","DOIUrl":"10.1016/j.jbankfin.2026.107655","url":null,"abstract":"<div><div>Based on a proprietary loan dataset from a nationwide state-owned Chinese commercial bank, this study finds that firms with high air pollutant emissions intensity are charged higher bank loan prices due to increased labor risk and environmental transition costs, which elevate bank lender’s overall risk exposure. The positive impact of such emissions on bank loan pricing is more pronounced in firms with no political connections, those located in regions with weak environmental governance, and classified as non-headquarter clients. Further analyses suggest that air pollution premiums are mainly charged for smoke emissions and credit loans. Moreover, air pollutant emissions significantly reduce the credit availability of borrowing firms and increase the tendency for bank lender to add non-price terms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107655"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190461","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
Climate beliefs, attitudes, and bank risk management 气候信念、态度和银行风险管理
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-31 DOI: 10.1016/j.jbankfin.2026.107652
Lorenzo Dal Maso , Xiaoran Jia , Kiridaran Kanagaretnam
{"title":"Climate beliefs, attitudes, and bank risk management","authors":"Lorenzo Dal Maso ,&nbsp;Xiaoran Jia ,&nbsp;Kiridaran Kanagaretnam","doi":"10.1016/j.jbankfin.2026.107652","DOIUrl":"10.1016/j.jbankfin.2026.107652","url":null,"abstract":"<div><div>We investigate the relationship between climate beliefs and attitudes (CBA) and bank risk management. We find that county-level CBA is positively associated with bank loan loss reserves (ALL) and provisions (LLP), suggesting that banks set aside higher reserves to cushion potential losses when managers believe in climate change. Further analyses using multiple approaches indicate that CBA has incremental explanatory power over climate risk in influencing ALL and LLP—this is an important insight since prior banking literature has mainly focused on climate risk. Our results are robust to various checks, and we show that CBA is negatively related to bank loan portfolio risk and overall bank risk-taking. In consequence tests, we document that CBA attenuates the positive relationship between climate risk and bank risk. Our study suggests that CBA is a behavioral impetus for bank managers to be more prudent in managing climate risk exposures via conservative loan loss accounting.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107652"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190462","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
Information capacity investment and financial stability under delegated asset management 委托资产管理下的信息能力投资和财务稳定
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-22 DOI: 10.1016/j.jbankfin.2026.107635
Akihiko Ikeda , Hiroshi Osano
{"title":"Information capacity investment and financial stability under delegated asset management","authors":"Akihiko Ikeda ,&nbsp;Hiroshi Osano","doi":"10.1016/j.jbankfin.2026.107635","DOIUrl":"10.1016/j.jbankfin.2026.107635","url":null,"abstract":"<div><div>This paper examines the equilibrium implications of fund investors’ information capacity investments in mitigating agency problems under delegated asset management by improving the precision of information signals acquired by fund managers. Using comparative static analysis, we investigate how agency conflicts, the interaction between information capacity investment and information acquisition effort—whether substitutes or complements—and the growing institutionalization of asset management affect three key outcomes: information capacity investment; the likelihood of a market freeze, where a high-quality asset fails to circulate fully in the market; and the structure of performance-based pay for fund managers.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107635"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146090220","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
ESG and bond market resilience: Evidence from the Covid crisis ESG和债券市场弹性：来自新冠危机的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-08 DOI: 10.1016/j.jbankfin.2026.107634
Sudheer Chava , Polina Efremenko , Carolina Salva
{"title":"ESG and bond market resilience: Evidence from the Covid crisis","authors":"Sudheer Chava ,&nbsp;Polina Efremenko ,&nbsp;Carolina Salva","doi":"10.1016/j.jbankfin.2026.107634","DOIUrl":"10.1016/j.jbankfin.2026.107634","url":null,"abstract":"<div><div>We document a smaller expansion of the negative CDS-bond basis and lower selling pressure during the Covid crisis for bonds issued by firms with high environmental and social (E&amp;S) scores, relative to bonds from low E&amp;S firms. This pattern is consistent with lower investor outflows from sustainability focused funds rather than fund managers discriminating among which bonds to sell. Our results suggest that the relative performance of high and low E&amp;S bonds during a crisis is influenced not only by shifts in firm fundamentals, but also by non-fundamental factors such as investor preferences and trading behaviour.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107634"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190456","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
Domestic primary dealers’ disclosure and peer banks’ asset allocation decisions: Evidence from sovereign debt classification 国内一级交易商信息披露与同业银行资产配置决策：来自主权债务分类的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-27 DOI: 10.1016/j.jbankfin.2026.107642
Francesco Grazioli , Annalisa Prencipe
{"title":"Domestic primary dealers’ disclosure and peer banks’ asset allocation decisions: Evidence from sovereign debt classification","authors":"Francesco Grazioli ,&nbsp;Annalisa Prencipe","doi":"10.1016/j.jbankfin.2026.107642","DOIUrl":"10.1016/j.jbankfin.2026.107642","url":null,"abstract":"<div><div>Primary dealers are sophisticated investors appointed by sovereign issuers to buy, promote, and distribute sovereign debt. They develop a deep knowledge of sovereign debt markets. This study examines domestic primary dealers’ sovereign debt classification, which is presumed to reflect their superior information sets on expected sovereign yields. We hypothesize that when this classification is disclosed in financial statements, peer banks adjust their asset allocation accordingly. We first document the predictive ability of domestic primary dealers’ sovereign debt classification for future sovereign yields. Next, using a sample of 6,437 bank-year observations over the 2012–2019 period and after controlling for publicly available information and other determinants of banks’ asset allocation decisions, we show that peer banks divest financial instruments and increase loans when domestic primary dealers disclose more sovereign debt at amortised cost. These effects are more pronounced among peer banks facing greater informational disadvantages.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107642"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190460","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
Illegal insider trading profitability and the legal environment 非法内幕交易的盈利能力与法律环境
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2025-12-13 DOI: 10.1016/j.jbankfin.2025.107609
Jonathan A. Batten , Lanlan Liu , Yezhou Sha
{"title":"Illegal insider trading profitability and the legal environment","authors":"Jonathan A. Batten ,&nbsp;Lanlan Liu ,&nbsp;Yezhou Sha","doi":"10.1016/j.jbankfin.2025.107609","DOIUrl":"10.1016/j.jbankfin.2025.107609","url":null,"abstract":"<div><div>This study examines how provincial legal environments shape the profitability of illegal insider trading in China. Using 521 adjudicated insider-trading cases from 2006 to 2018, we hand-collect detailed information from court judgments and CSRC sanction documents to reconstruct holding-period returns and illicit gains. We combine these data with established provincial indices of legal development and firm-level measures of ex ante litigation risk to test whether legal risk is priced in illegal insider trades. We find that stronger provincial legal environments are associated with significantly higher per-trade profitability among illegal trades that insiders execute after accounting for enforcement risk. This pattern is consistent with a risk-compensation mechanism rather than a failure of enforcement, as stricter legal environments deter low-return trades and leave only trades with sufficiently high expected gains. Firm-level litigation exposure further strengthens this effect. The results remain robust to sample-selection corrections, alternative return measures and a range of heterogeneity tests. Overall, our findings show how institutional variation in enforcement shapes insider incentives and the risk–return trade-off of illegal trading.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107609"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146015806","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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