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Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices 冲突与强化的私人信息、信息聚合以及资产价格的时间序列特性
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-07 DOI: 10.1016/j.jbankfin.2024.107300
Charles Schnitzlein , Patricia Chelley-Steeley , James M Steeley
{"title":"Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices","authors":"Charles Schnitzlein ,&nbsp;Patricia Chelley-Steeley ,&nbsp;James M Steeley","doi":"10.1016/j.jbankfin.2024.107300","DOIUrl":"10.1016/j.jbankfin.2024.107300","url":null,"abstract":"<div><div>We study how the relationship between independent private information signals affects information aggregation in laboratory asset markets. We employ two mechanisms, a continuous double auction and a prediction market. Under both mechanisms, when information is reinforcing, partial information aggregation occurs. When information is in conflict, information aggregation lessens and attempts to profit from private information frequently harm informational efficiency. In both mechanisms, results become stronger with experience in previous experimental sessions, and provide a private information benchmark for studies of the implications of conflicting public information. Under reasonable assumptions, our results are consistent with both momentum effects and weak reversals.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002140/pdfft?md5=bbd52b4d35eadacdb0bcedaf369ab712&pid=1-s2.0-S0378426624002140-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142310880","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
Cross-country determinants of market efficiency: A technical analysis perspective 市场效率的跨国决定因素：技术分析视角
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-05 DOI: 10.1016/j.jbankfin.2024.107297
Jiali Fang , Ben Jacobsen
{"title":"Cross-country determinants of market efficiency: A technical analysis perspective","authors":"Jiali Fang ,&nbsp;Ben Jacobsen","doi":"10.1016/j.jbankfin.2024.107297","DOIUrl":"10.1016/j.jbankfin.2024.107297","url":null,"abstract":"<div><p>This study examines the relative impact of seven factors, including herding, sentiments, and institutional quality, on varying levels of weak form market efficiency across 50 stock markets. The analysis focuses on the profitability of technical analysis trading strategies to address issues with other (statistical) market efficiency measures related to information and transaction costs (Griffin et al., 2010). Proxies for herding, institutional quality, and equity market development consistently emerge as the most significant cross-country determinants of relative market efficiency. In contrast, proxies for fractionalization, chaos, and investor protection play comparatively weaker roles. We also find no clear link between market efficiency and sentiment proxies.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002115/pdfft?md5=fc63ff3c8d73ce8bf05a4f326a9b90ed&pid=1-s2.0-S0378426624002115-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142173685","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
Effects of macroprudential policy: Evidence from over 6000 estimates 宏观审慎政策的影响：来自 6000 多项估算的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-04 DOI: 10.1016/j.jbankfin.2024.107273
Juliana Araujo , Manasa Patnam , Adina Popescu , Fabian Valencia , Weijia Yao
{"title":"Effects of macroprudential policy: Evidence from over 6000 estimates","authors":"Juliana Araujo ,&nbsp;Manasa Patnam ,&nbsp;Adina Popescu ,&nbsp;Fabian Valencia ,&nbsp;Weijia Yao","doi":"10.1016/j.jbankfin.2024.107273","DOIUrl":"10.1016/j.jbankfin.2024.107273","url":null,"abstract":"<div><p>This paper builds a novel database on the effects of macroprudential policy drawing from 58 empirical studies, comprising over 6000 results on a wide range of instruments and outcome variables. It encompasses information on statistical significance, <em>standardized</em> magnitudes, and other characteristics of the estimates. Using meta-analysis techniques, the paper estimates average effects to find (i) statistically significant effects on credit, but with considerable heterogeneity across instruments; (ii) weaker and more imprecise effects on house prices; (iii) quantitatively stronger effects in emerging markets and among studies using micro-level data; and (iv) statistically significant evidence of leakages and spillovers. Other findings include relatively stronger impacts for tightening than loosening actions and negative effects on economic activity in the near term.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142173686","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
Weather-related disasters and inflation in the euro area 欧元区与天气有关的灾害和通货膨胀
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-30 DOI: 10.1016/j.jbankfin.2024.107298
John Beirne , Yannis Dafermos , Alexander Kriwoluzky , Nuobu Renzhi , Ulrich Volz , Jana Wittich
{"title":"Weather-related disasters and inflation in the euro area","authors":"John Beirne ,&nbsp;Yannis Dafermos ,&nbsp;Alexander Kriwoluzky ,&nbsp;Nuobu Renzhi ,&nbsp;Ulrich Volz ,&nbsp;Jana Wittich","doi":"10.1016/j.jbankfin.2024.107298","DOIUrl":"10.1016/j.jbankfin.2024.107298","url":null,"abstract":"<div><p>This article investigates the impact of weather-related disasters on inflation in the euro area over the period 1996–2021. Using a panel structural vector autoregression approach, we explore whether weather-related disasters have a significant and persistent effect on inflation, as well as the role that demand-side and supply-side channels play as drivers of inflation. We also analyse the heterogeneous effects of inflation on different product categories. Our results suggest that weather-related disasters have a positive, non-persistent effect on inflation. This reflects the prevalence of negative supply shock channels and positive demand shock channels over negative demand shock channels. We also find that weather-related disasters have more pronounced effects on the inflation of product categories that represent a higher proportion of the spending of low-income households, implying that disasters reinforce inflation inequality. Overall, our results suggest that, as the climate crisis deepens, it might become increasingly challenging for the European Central Bank to control inflation and its inequality effects.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142162725","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 quality of financial advice: What influences recommendations to clients? 财务建议的质量：是什么影响了向客户提供的建议？
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-28 DOI: 10.1016/j.jbankfin.2024.107291
Philippe d’Astous , Irina Gemmo , Pierre-Carl Michaud
{"title":"The quality of financial advice: What influences recommendations to clients?","authors":"Philippe d’Astous ,&nbsp;Irina Gemmo ,&nbsp;Pierre-Carl Michaud","doi":"10.1016/j.jbankfin.2024.107291","DOIUrl":"10.1016/j.jbankfin.2024.107291","url":null,"abstract":"<div><p>In this paper, we conduct a field experiment with a large sample of financial planner professionals in Canada to elicit factors which may influence client recommendations. Using repeated client vignettes, we find that recommendations are sensitive in expected ways to relative costs and benefits of particular products as well as client characteristics. We show that, in some domains, planners are more likely to recommend products they own themselves, their spouse owns, or they are licensed to sell. We provide evidence that product familiarity can negatively impact the quality of financial advice in specific situations. Finally, we find evidence for an effect of client involvement in the investment domain, but we do not find economically significant gender effects.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S037842662400205X/pdfft?md5=0b105ba527c6237c93971c2f5b460527&pid=1-s2.0-S037842662400205X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142158088","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
Analyst recommendations and mispricing across the globe 全球分析师的建议和错误定价
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-27 DOI: 10.1016/j.jbankfin.2024.107296
Vitor Azevedo , Sebastian Müller
{"title":"Analyst recommendations and mispricing across the globe","authors":"Vitor Azevedo ,&nbsp;Sebastian Müller","doi":"10.1016/j.jbankfin.2024.107296","DOIUrl":"10.1016/j.jbankfin.2024.107296","url":null,"abstract":"<div><p>We examine the value of analysts’ recommendations using a dataset of 45 countries, 3.8 million firm-month observations, and 222 return anomalies from 1994 to 2019. Unlike U.S.-based evidence, recommendations lead to subsequent highly significant abnormal returns in international markets. Furthermore, analysts do not seem to strengthen mispricing in international markets, as they give more favorable recommendations to (anomaly-ranked) underpriced stocks, and inconsistencies between recommendations and composite anomaly ranks lead to lower, not higher, abnormal returns. Recommendations are more valuable in less developed and less individualistic markets. Our results suggest that analysts’ recommendations provide more value to investors than previously thought.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002103/pdfft?md5=1658a16a70eba01a53eb3bf529fc40a4&pid=1-s2.0-S0378426624002103-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142270355","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
Treasury buybacks, the Federal Reserve’s portfolio, and changes in local supply 国债回购、美联储的投资组合以及本地供应的变化
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-23 DOI: 10.1016/j.jbankfin.2024.107286
Michael F. Connolly , Ethan Struby
{"title":"Treasury buybacks, the Federal Reserve’s portfolio, and changes in local supply","authors":"Michael F. Connolly ,&nbsp;Ethan Struby","doi":"10.1016/j.jbankfin.2024.107286","DOIUrl":"10.1016/j.jbankfin.2024.107286","url":null,"abstract":"<div><p>We document spillover effects of the 2000–2002 Treasury Buyback program on Treasury returns and the composition of the Federal Reserve’s System Open Market Account (SOMA) portfolio. The reduction in bond supply due to the buybacks contributed an average of 95 basis points to the yields of bonds bought back and bonds of similar maturity over the course of the program. Each $10 billion of purchases corresponded with an average yield increase of 7.8 basis points. At a higher frequency, prices of purchased and near substitute bonds increased on settlement dates. Changes to the SOMA portfolio were smaller for securities exposed to the buybacks and tended to occur outside of auction weeks, consistent with the Federal Reserve attempting to avoid exacerbating Treasury supply shortages. We relate our findings to the theoretical literature on asset supply in preferred habitats models of the term structure. Our results suggest that the proposed reintroduction of the Treasury buyback program will have limited effects due to its size and proposed composition.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142089392","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
Voting for insider trading regulation. An experimental study of informed and uninformed traders’ preferences 投票支持内幕交易监管。对知情和不知情交易者偏好的实验研究
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-22 DOI: 10.1016/j.jbankfin.2024.107295
Dominik Schmidt , Thomas Stöckl , Stefan Palan
{"title":"Voting for insider trading regulation. An experimental study of informed and uninformed traders’ preferences","authors":"Dominik Schmidt ,&nbsp;Thomas Stöckl ,&nbsp;Stefan Palan","doi":"10.1016/j.jbankfin.2024.107295","DOIUrl":"10.1016/j.jbankfin.2024.107295","url":null,"abstract":"<div><p>Capital markets often regulate insider trading, but whether such regulation aligns with traders’ preferences is an open question. This study examined traders’ regulation preferences conditional on their prospects of becoming informed. Of 64 referenda, traders decided 41 (64%) against regulation. Moreover, traders’ prospects of becoming informed significantly impacted the outcomes of the referenda. In markets in which a group of traders has no chance of receiving inside information, 47% of the referenda are decided against regulation. When all traders could get such information, 81% are. Individual votes reveal that traders who know they will remain uninformed support regulation in 69.27% of the cases, while informed traders do so only 8.33% of the time. Traders who may or may not become informed support regulation 33.33% of the time.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002097/pdfft?md5=908e3eb33f21387fbe887fd9f9d2a6ff&pid=1-s2.0-S0378426624002097-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142158089","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
Decomposing momentum: The forgotten component 分解动力：被遗忘的部分
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-21 DOI: 10.1016/j.jbankfin.2024.107292
Pascal Büsing , Hannes Mohrschladt , Susanne Siedhoff
{"title":"Decomposing momentum: The forgotten component","authors":"Pascal Büsing ,&nbsp;Hannes Mohrschladt ,&nbsp;Susanne Siedhoff","doi":"10.1016/j.jbankfin.2024.107292","DOIUrl":"10.1016/j.jbankfin.2024.107292","url":null,"abstract":"<div><p>We split up the standard momentum return over months <span><math><mrow><mi>t</mi><mo>−</mo><mn>12</mn></mrow></math></span> to <span><math><mrow><mi>t</mi><mo>−</mo><mn>2</mn></mrow></math></span> at the highest stock price within this formation period. Of the overall momentum profits in month <span><math><mi>t</mi></math></span>, 84% can be attributed to the return prior to this peak price although research has exclusively focused on the post-peak return so far. The return predictability of the forgotten component is consistent with investor underreaction as underlying mechanism. Contrary to standard momentum strategies, the corresponding long-short returns are positively skewed, avoid momentum crashes, show no market state dependence, and yield consistent return premiums in both the US and international stock markets.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142129570","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
Pure risk, agency conflict, and hedging 纯粹风险、代理冲突和套期保值
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-17 DOI: 10.1016/j.jbankfin.2024.107294
Lu Chen , Bingqing Li , Wenyuan Zheng
{"title":"Pure risk, agency conflict, and hedging","authors":"Lu Chen ,&nbsp;Bingqing Li ,&nbsp;Wenyuan Zheng","doi":"10.1016/j.jbankfin.2024.107294","DOIUrl":"10.1016/j.jbankfin.2024.107294","url":null,"abstract":"<div><p>This study develops a theoretical model to analyze the asset substitution problem over insurance decisions. We find that agency conflict is related to a firm’s risk level and capital structure. In particular, at the optimal leverage, agency conflict occurs only when the risk level is relatively high, which explains why insurance covenants are typically for significant pure risks. Moreover, when the risk level is specified, agency conflict over insurance decisions occurs within a specific leverage range. This is consistent with the findings of some research on the asset substitution problem over speculative risk choices. In addition, we consider premium loadings and conclude that full hedging is not a firm’s optimal risk management strategy, contributing to the literature on optimal hedging decisions with transaction frictions. Our framework with premium loadings can also explain many insurance phenomena, such as risk retention for small losses and subsidies for catastrophe insurance.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":null,"pages":null},"PeriodicalIF":3.6,"publicationDate":"2024-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142021239","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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