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Dissecting the return-predicting power of risk-neutral variance
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-21 DOI: 10.1016/j.jbankfin.2025.107409
Zhongjin Lu , Chaehyun Pyun
{"title":"Dissecting the return-predicting power of risk-neutral variance","authors":"Zhongjin Lu ,&nbsp;Chaehyun Pyun","doi":"10.1016/j.jbankfin.2025.107409","DOIUrl":"10.1016/j.jbankfin.2025.107409","url":null,"abstract":"<div><div>We reassess the predictive power of risk-neutral excess-of-market stock variance (Martin and Wagner, 2019) for stock returns. After correcting two look-ahead biases that influence evidence supporting an average predictive coefficient of 0.5 reported in prior works, we find the data are too noisy to reject the null hypothesis of an average coefficient of zero. However, this insignificant average predictive coefficient conceals the predictability’s strong covariance with market volatility, as well as its large variation across characteristics-sorted subsamples. Out-of-sample analysis confirms that while the MW model does not significantly outperform benchmark models on average, it significantly outperforms during high-volatility periods.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107409"},"PeriodicalIF":3.6,"publicationDate":"2025-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488728","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
Fiduciary duty and corporate social responsibility: Evidence from corporate opportunity waiver
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-20 DOI: 10.1016/j.jbankfin.2025.107417
Naomi Boyd , Shenru Li , He (Helen) Wang , Xianjue Wang
{"title":"Fiduciary duty and corporate social responsibility: Evidence from corporate opportunity waiver","authors":"Naomi Boyd ,&nbsp;Shenru Li ,&nbsp;He (Helen) Wang ,&nbsp;Xianjue Wang","doi":"10.1016/j.jbankfin.2025.107417","DOIUrl":"10.1016/j.jbankfin.2025.107417","url":null,"abstract":"<div><div>This paper examines whether corporate social responsibility (CSR) aligns with shareholder interests or stems from agency conflicts. To explore this, we utilize the staggered adoption of state-level Corporate Opportunity Waiver (COW) laws, which potentially weaken the fiduciary duty of loyalty among directors and officers, thereby exacerbating agency conflicts. Through a difference-in-differences analysis, we find that CSR activities significantly decrease following the enactment of COW laws. This decline is more pronounced in firms with weaker corporate governance, greater external opportunities for directors and officers, less incentivized CEOs, and those operating in less competitive industries. Additionally, our results show that the positive effect of CSR on financial performance is diminished by the adoption of COW laws. These findings support the value-enhancing perspective of CSR and highlight the importance of fiduciary duty of loyalty in promoting CSR.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107417"},"PeriodicalIF":3.6,"publicationDate":"2025-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488729","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
Carbon management ability and climate risk exposure: An international investigation
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-19 DOI: 10.1016/j.jbankfin.2025.107415
Le Luo , Junru Zhang , Chen Zheng
{"title":"Carbon management ability and climate risk exposure: An international investigation","authors":"Le Luo ,&nbsp;Junru Zhang ,&nbsp;Chen Zheng","doi":"10.1016/j.jbankfin.2025.107415","DOIUrl":"10.1016/j.jbankfin.2025.107415","url":null,"abstract":"<div><div>Using a large international sample of firms, we examine the relation between carbon management ability (CMA) and firm-level climate risk exposure. We find that CMA is negatively associated with climate risk exposure. More importantly, we show that firms with high-CMA managers tend to achieve a reduction in climate risk exposure through enhancing regulatory compliance (evidenced by fewer stakeholder rights violations), reducing environmental, social, and governance-related controversies, investing in research and development, undertaking more investment in environmental initiatives, and cultivating a favorable corporate culture. Cross-sectional analyses indicate that the negative association between CMA and climate risk exposure is stronger for firms in carbon-intensive sectors and firms with a dedicated corporate sustainability committee. Further, we reveal that CMA exerts a greater influence on climate risk exposure in stakeholder-oriented countries and in countries that have signed the Paris Agreement. Finally, we reveal that firms with high-CMA managers tend to have better financial performance. Overall, our findings indicate that CMA plays a crucial role in driving firms towards more sustainable and responsible business practices, leading to better corporate performance and enhanced corporate reputation.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107415"},"PeriodicalIF":3.6,"publicationDate":"2025-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143479964","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
Investor heterogeneity and the market for fund benchmarks: Evidence from passive ETFs
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-18 DOI: 10.1016/j.jbankfin.2025.107412
Leonard Kostovetsky , Jerold Warner
{"title":"Investor heterogeneity and the market for fund benchmarks: Evidence from passive ETFs","authors":"Leonard Kostovetsky ,&nbsp;Jerold Warner","doi":"10.1016/j.jbankfin.2025.107412","DOIUrl":"10.1016/j.jbankfin.2025.107412","url":null,"abstract":"<div><div>The market for passive ETFs and passive ETF benchmarks has exploded. Passive ETF sponsors get index benchmarks mainly from brand name index providers such as S&amp;P and Russell. We show how benchmark and index provider characteristics are relevant for sponsors and different investor types. ETF benchmarks from large index providers attract more capital. Institutional flows exhibit a strong preference for brand name benchmarks, but do-it-yourself retail investor flows do not. ETFs that change benchmarks reduce their tracking error and have 7% higher flows in the subsequent three months, again driven by institutional flows.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107412"},"PeriodicalIF":3.6,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143520277","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
Discretion in pay ratio estimation
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-18 DOI: 10.1016/j.jbankfin.2025.107416
Zinat Alam , Chinmoy Ghosh , Harley E. Ryan Jr. , Lingling Wang
{"title":"Discretion in pay ratio estimation","authors":"Zinat Alam ,&nbsp;Chinmoy Ghosh ,&nbsp;Harley E. Ryan Jr. ,&nbsp;Lingling Wang","doi":"10.1016/j.jbankfin.2025.107416","DOIUrl":"10.1016/j.jbankfin.2025.107416","url":null,"abstract":"<div><div>We examine how firms estimate CEO-employee pay ratios in response to the CEO pay ratio rule, the first mandated pay inequality disclosure for U.S. firms. Our findings reveal that firms disclose lower pay ratios when they use more complex methods to identify the median employee. The relation between the estimation method and the disclosed pay ratio is stronger for firms headquartered in states with a greater societal aversion to income inequality and is weaker when CEO pay in the prior year is lower. Firms’ estimation choices do not merely represent selection bias or potentially omitted variables such as firm size, industry, compensation design complexity, or workforce composition – including the presence of foreign, temporary, seasonal, or highly paid employees. Although firms that use more complex methods to identify the median employee disclose lower pay ratios, we find no evidence of real changes in pay inequality among these firms. Our results suggest that some firms use estimation discretion to appear to conform to stakeholders’ preferences instead of taking real actions. These practices call into question the informativeness of CEO pay ratio disclosures, highlighting a potential cost of granting discretion in mandatory ESG disclosures.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107416"},"PeriodicalIF":3.6,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143471667","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
Rest and financial judgments: The impact of holidays on analyst accuracy
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jbankfin.2025.107399
Sima Jannati
{"title":"Rest and financial judgments: The impact of holidays on analyst accuracy","authors":"Sima Jannati","doi":"10.1016/j.jbankfin.2025.107399","DOIUrl":"10.1016/j.jbankfin.2025.107399","url":null,"abstract":"<div><div>I examine whether holidays affect the forecast accuracy of equity analysts. I find that earnings forecasts issued after holidays are, on average, more accurate than those issued before. Economically, this effect is equivalent to the impact of 73 months of experience on analyst accuracy. Using heuristic behavior as a proxy for improved rest, I find that analysts’ use of heuristics declines after holidays. I examine and rule out greater information availability, increased attention, and changes in sentiment as alternative mechanisms. Overall, the results suggest that short breaks from work meaningfully improve the quality of analysts’ performance.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107399"},"PeriodicalIF":3.6,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143422293","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
Do activists align with larger mutual funds?
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jbankfin.2025.107402
Manish Jha
{"title":"Do activists align with larger mutual funds?","authors":"Manish Jha","doi":"10.1016/j.jbankfin.2025.107402","DOIUrl":"10.1016/j.jbankfin.2025.107402","url":null,"abstract":"<div><div>This study shows that hedge funds tend to design their activist campaigns to match the preferences and ideologies of institutions holding large stakes in the target company. These preferences are estimated by analyzing the institutions’ past proxy voting behavior. The findings show that activists benefit from this approach.</div><div>Campaigns that show a stronger positive correlation between the preferences of larger institutions and activist communications attract more shareholder attention, receive more votes, and are more likely to succeed.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107402"},"PeriodicalIF":3.6,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143508448","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
Stochastic arbitrage with market index options
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-02 DOI: 10.1016/j.jbankfin.2025.107395
Brendan K. Beare , Juwon Seo , Zhongxi Zheng
{"title":"Stochastic arbitrage with market index options","authors":"Brendan K. Beare ,&nbsp;Juwon Seo ,&nbsp;Zhongxi Zheng","doi":"10.1016/j.jbankfin.2025.107395","DOIUrl":"10.1016/j.jbankfin.2025.107395","url":null,"abstract":"<div><div>Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset, generates a payoff which stochastically dominates the payoff from the direct investment in the underlying asset. We provide linear and mixed-integer linear programs for computing the stochastic arbitrage opportunity providing the maximum option premium to an investor. We apply our programs to 18 years of data on monthly put and call options on the Standard &amp; Poors 500 index, finding no evidence that stochastic arbitrage opportunities are systematically present. A skewed specification of the underlying market return distribution with a constant market risk premium and constant multiplicative variance risk premium is broadly consistent with the pricing of market index options at moderate strikes.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107395"},"PeriodicalIF":3.6,"publicationDate":"2025-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143395512","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
Infectious disease outbreaks and the disposition effect of mutual fund investors
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107344
Xiaoxiao Wang , Xueyong Zhang
{"title":"Infectious disease outbreaks and the disposition effect of mutual fund investors","authors":"Xiaoxiao Wang ,&nbsp;Xueyong Zhang","doi":"10.1016/j.jbankfin.2024.107344","DOIUrl":"10.1016/j.jbankfin.2024.107344","url":null,"abstract":"<div><div>This study investigates the potential impact of the 2003 severe acute respiratory syndrome (SARS) epidemic on cognitive biases in capital markets, focusing on individual mutual fund investors’ trading behavior in the post-SARS era. Using a proprietary data set obtained from a large Chinese mutual fund family comprising comprehensive trading information, this research finds that individuals in areas experiencing severe SARS cases exhibit a stronger disposition effect after the end of the epidemic. It further indicates that unsophisticated investors are more vulnerable to the disposition effect and this mood regulation–induced behavior is irrational and related to behavioral biases, ultimately worsening investors’ circumstances. These results hold across a wide range of robustness checks.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107344"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102354","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
Available-for-sale is available for hoarding: When nonfinancial firms hold financial assets
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107348
Xiaoran Ni , Yuchao Peng , Ji Shen , Samuel A. Vigne , Nanxuan Wang
{"title":"Available-for-sale is available for hoarding: When nonfinancial firms hold financial assets","authors":"Xiaoran Ni ,&nbsp;Yuchao Peng ,&nbsp;Ji Shen ,&nbsp;Samuel A. Vigne ,&nbsp;Nanxuan Wang","doi":"10.1016/j.jbankfin.2024.107348","DOIUrl":"10.1016/j.jbankfin.2024.107348","url":null,"abstract":"<div><div>This paper empirically examines how listed non-financial firms use the “call option” feature of one of the most important financial assets, available-for-sale securities, as earnings manipulation tools owing to bad-news-hoarding motives. In 2007, China set its first accounting standards for financial instruments, which classify financial assets based on the highly subjective “managerial holding intention” criterion. We find that holding available-for-sale securities is positively associated with the likelihood of stock price crashes in Chinese listed firms. The main effect is more pronounced under lax external regulation and lower information transparency. It is further accentuated when CEOs have lower educational backgrounds, weaker competence in managing core business activities, or face greater performance pressures. Our findings indicate that, in typical emerging markets, fair value accounting may have unintended consequences, inducing non-financial firms to employ financial assets as tools to hoard bad news.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107348"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102355","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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