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Dealer misconduct and price dynamics at the fix 交易商不当行为和定价时的价格动态
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-26 DOI: 10.1016/j.jbankfin.2026.107641
Carol Osler , Alasdair Turnbull
{"title":"Dealer misconduct and price dynamics at the fix","authors":"Carol Osler ,&nbsp;Alasdair Turnbull","doi":"10.1016/j.jbankfin.2026.107641","DOIUrl":"10.1016/j.jbankfin.2026.107641","url":null,"abstract":"<div><div>This paper provides a model of rational OTC dealers trading at a fix. It predicts four forms of misconduct that have been documented for fixes in FX, silver, and gold: front-running, a type of predatory trading; banging-the-close, a type of trade-based manipulation; information sharing; and collusion. This misconduct generates heretofore puzzling features of fix-price dynamics: high volatility before the fix, partial retracements thereafter, and an accelerating price trend as the fix approaches. Additional support for the model emerges from statistical tests for trend acceleration around FX fixes.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107641"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146190459","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
From chain waves to market moves: Untangling price efficiency in the supply chain network 从链条波动到市场波动：解开供应链网络中的价格效率
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-04-01 Epub Date: 2026-01-10 DOI: 10.1016/j.jbankfin.2026.107639
Yahui Liu , Wenxuan Zhao , Di Gao , Zhaohui Chen
{"title":"From chain waves to market moves: Untangling price efficiency in the supply chain network","authors":"Yahui Liu ,&nbsp;Wenxuan Zhao ,&nbsp;Di Gao ,&nbsp;Zhaohui Chen","doi":"10.1016/j.jbankfin.2026.107639","DOIUrl":"10.1016/j.jbankfin.2026.107639","url":null,"abstract":"<div><div>In this study, we examine how firms’ structural positions within supply chain networks influence stock price efficiency. Using a supplier-customer dataset for Chinese A-share listed firms, we construct a dynamic firm-level supply chain network and measure structural positions using degree centrality and structural hole centrality. We find that more central firms exhibit higher stock price efficiency. Further analysis demonstrates that centrality enhances price efficiency through both a disclosure channel and an information production channel. Cross-sectional analyses indicate that this relationship is stronger for firms with higher active institutional ownership, greater access to foreign investors, and fewer short-selling constraints but weakens during periods of elevated investor sentiment, underscoring the role of institutional investors in information acquisition. Finally, we find that the improved price efficiency of central firms translates into a lower cost of equity.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"185 ","pages":"Article 107639"},"PeriodicalIF":3.8,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146039929","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
Asset management with an ESG mandate 具有ESG授权的资产管理
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.jbankfin.2026.107640
Michele Azzone , Emilio Barucci , Davide Stocco
{"title":"Asset management with an ESG mandate","authors":"Michele Azzone ,&nbsp;Emilio Barucci ,&nbsp;Davide Stocco","doi":"10.1016/j.jbankfin.2026.107640","DOIUrl":"10.1016/j.jbankfin.2026.107640","url":null,"abstract":"<div><div>We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance and to attain a certain ESG score (ESG mandate). Provided that a negative ESG premium is priced by the market, we show that an ESG mandate can reduce the mean–variance inefficiency of the portfolio frontier when the asset manager targets a limited over-performance return with respect to the benchmark. In equilibrium, with mean–variance investors and asset managers endowed with an ESG mandate, a negative ESG premium arises if the mandate is binding for asset managers. The negative ESG premium is due to the ESG constraint (institutional investors over-invest in virtuous ESG stocks). We find empirical evidence of such a negative premium in the US market.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107640"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145979533","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
Sustainability in commodity markets 商品市场的可持续性
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2025-12-04 DOI: 10.1016/j.jbankfin.2025.107599
Guillaume Coqueret , Bertrand Tavin , Yuxin Zhou
{"title":"Sustainability in commodity markets","authors":"Guillaume Coqueret ,&nbsp;Bertrand Tavin ,&nbsp;Yuxin Zhou","doi":"10.1016/j.jbankfin.2025.107599","DOIUrl":"10.1016/j.jbankfin.2025.107599","url":null,"abstract":"<div><div>We examine the asset pricing implications of sustainability in commodity markets. We focus on metals and agricultural goods, for which we collect production-based environmental footprint data, namely greenhouse gas emissions and water consumption. We then build green-minus-brown portfolios and find no evidence that sustainability is priced in the cross-section of metals’ and agricultural commodities’ returns. We also document strong welfare benefits when diversifying equity and bond allocations with low-carbon commodities. Investor welfare, measured by the certainty equivalent return, increases by 22% when the commodity share is 20%. These results reveal the dual opportunities, both financial and environmental, brought by low footprint commodities.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107599"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929230","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 do assessed values affect the transaction prices of homes? 评估价值如何影响房屋的交易价格？
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2025-12-23 DOI: 10.1016/j.jbankfin.2025.107610
Marcel Fischer , Patrick Hauf , Simon Stehle
{"title":"How do assessed values affect the transaction prices of homes?","authors":"Marcel Fischer ,&nbsp;Patrick Hauf ,&nbsp;Simon Stehle","doi":"10.1016/j.jbankfin.2025.107610","DOIUrl":"10.1016/j.jbankfin.2025.107610","url":null,"abstract":"<div><div>Property taxes are commonly levied as a percentage of a home’s assessed value (AV). AVs should affect home prices through opposing channels. An unexpected increase in AV implies higher tax payments, which should hurt a home’s selling price (tax channel). On the other hand, the increase should have a positive effect since AVs serve as reference prices (anchoring channel). In a quasi-experimental setting exploiting geographic variations in AV-publication dates and reassessment frequencies, we find that a higher AV leads to a lower transaction price, indicating that the tax channel prevails. Disentangling the aggregate effect, we document that empirically, the anchoring channel does not play a major role. Our results thus suggest an exacerbation of previously documented inequities caused by taxation.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107610"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145898050","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
Can the bid–ask spread explain the trend in aggregate idiosyncratic variance? 买卖价差能否解释总体特质方差的趋势？
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2026-01-02 DOI: 10.1016/j.jbankfin.2025.107622
David A. Lesmond , Xuhui (Nick) Pan
{"title":"Can the bid–ask spread explain the trend in aggregate idiosyncratic variance?","authors":"David A. Lesmond ,&nbsp;Xuhui (Nick) Pan","doi":"10.1016/j.jbankfin.2025.107622","DOIUrl":"10.1016/j.jbankfin.2025.107622","url":null,"abstract":"<div><div>We establish the bid–ask spread bias embedded in the Campbell et al. (2001; 2022) (CLMX) estimate of idiosyncratic variance (IV). Minimizing the bid–ask spread effect by using quote midpoints or increasing the return horizon eliminates the upward (CLMX) and downward time trend (Bekaert et al., 2012) in IV. Five natural experiments illustrate that an exogenous shock in the recording of transaction prices significantly affects the resulting time trend in IV. Cross-sectional and time-series regressions show that the bid–ask spread subsumes the CLMX IV time trend.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107622"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145979530","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
Stranded in the wastelands? Natural capital depletion and bank deposit reallocation 被困在荒地上？自然资本枯竭和银行存款再配置
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2026-01-05 DOI: 10.1016/j.jbankfin.2025.107624
Manuel Ramos-Francia , Peter Karlström , Ricardo Montañez-Enríquez , Matias Ossandon Busch
{"title":"Stranded in the wastelands? Natural capital depletion and bank deposit reallocation","authors":"Manuel Ramos-Francia ,&nbsp;Peter Karlström ,&nbsp;Ricardo Montañez-Enríquez ,&nbsp;Matias Ossandon Busch","doi":"10.1016/j.jbankfin.2025.107624","DOIUrl":"10.1016/j.jbankfin.2025.107624","url":null,"abstract":"<div><div>Using unique data on natural capital stock in Mexico since the 1980s, this paper shows that significant natural capital losses are associated with a reallocation of bank deposits and credit, shifting funds from environmentally distressed regions to those with abundant natural capital. Identification relies on comparing bank branches within the same municipality that differ in exposure to natural capital losses through their banks’ regional spread. The findings highlight that adaptation responses to environmental degradation can be affected by a natural capital depletion spiral, driven by a geographical reallocation of bank activities.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107624"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929234","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
Option introduction, short-sale constraints, and stock price efficiency: New evidence from IPO lockup periods 期权引入、卖空约束和股价效率：来自IPO锁定期的新证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2026-01-07 DOI: 10.1016/j.jbankfin.2026.107633
Li Wang
{"title":"Option introduction, short-sale constraints, and stock price efficiency: New evidence from IPO lockup periods","authors":"Li Wang","doi":"10.1016/j.jbankfin.2026.107633","DOIUrl":"10.1016/j.jbankfin.2026.107633","url":null,"abstract":"<div><div>We examine whether option availability improves price efficiency of IPO stocks during the lockup periods. Using a difference-in-difference analysis, we show that before September 2008, optioned IPOs exhibit significantly higher price efficiency than non-optioned IPOs during lockup periods across three measures. This efficiency advantage coincides with a regulatory exemption that allowed option market makers (OMMs) to short sell without pre-borrowing shares or complying with “close-out” requirements. After the exemption was eliminated, the efficiency advantage disappears. Additional evidence from Deep-In-the-Money option trading and fail-to-deliver data supports the mechanism that options enhance price efficiency by relaxing short-sale constraints during lockup periods.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107633"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145979532","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
Machine learning in corporate bonds: Evidence from China 公司债券中的机器学习：来自中国的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2026-01-09 DOI: 10.1016/j.jbankfin.2026.107636
Yvonne Fang , Xiaolu Hu , Angel Zhong , Zheyao Pan , Youdan Cao
{"title":"Machine learning in corporate bonds: Evidence from China","authors":"Yvonne Fang ,&nbsp;Xiaolu Hu ,&nbsp;Angel Zhong ,&nbsp;Zheyao Pan ,&nbsp;Youdan Cao","doi":"10.1016/j.jbankfin.2026.107636","DOIUrl":"10.1016/j.jbankfin.2026.107636","url":null,"abstract":"<div><div>This study employs a broad set of machine learning (ML) methods to examine cross-sectional variation in corporate bond returns in China. Using macroeconomic indicators together with bond- and issuer-specific characteristics, we find that ML techniques outperform traditional linear models in both statistical and economic terms. These models are particularly effective at capturing distinctive features of the Chinese market, including the dominance of state-owned enterprises, implicit government guarantees, and rapid market evolution. We compare long-short and long-only portfolio strategies to account for practical constraints on short selling. The results indicate that ML methods are effective in markets where institutional features and information asymmetries play a central role in asset pricing.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107636"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145979535","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
Corporate labor violations: Do CEOs’ public charity affiliations matter? 企业违反劳动法：ceo的公益慈善关系重要吗？
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2025-12-30 DOI: 10.1016/j.jbankfin.2025.107625
Mariem Khalifa , Mehdi Khedmati , Mohammed Aminu Sualihu , Alfred Yawson
{"title":"Corporate labor violations: Do CEOs’ public charity affiliations matter?","authors":"Mariem Khalifa ,&nbsp;Mehdi Khedmati ,&nbsp;Mohammed Aminu Sualihu ,&nbsp;Alfred Yawson","doi":"10.1016/j.jbankfin.2025.107625","DOIUrl":"10.1016/j.jbankfin.2025.107625","url":null,"abstract":"<div><div>We examine the impact of CEOs’ public charity affiliations on corporate labor violations and find that public-charity-affiliated CEOs have a lower likelihood of engaging in labor violations than their non-affiliated peers. In a disaggregated analysis, we find the result to be driven primarily by wage and hour violations. This finding is validated when we compare changes in wage and hour violations around different types of CEO turnover. We further identify the promotion of a positive corporate culture and an increase in labor-related expenditures as the main channels through which CEOs’ public charity affiliations affect wage and hour violations. In addition, we find that firms led by public-charity-affiliated CEOs experience lower employee turnover. The impact of public-charity-affiliated CEOs on reducing the likelihood of wage and hour violations is persistent and is more pronounced for CEOs who exhibit more altruistic behavior prior to assuming office. Overall, we provide persuasive evidence that CEOs’ public charity affiliations are beneficial to firms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107625"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929231","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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