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Competing for dark trades 竞争黑暗交易
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-28 DOI: 10.1016/j.jbankfin.2025.107509
Paul J. Irvine , Egle Karmaziene
{"title":"Competing for dark trades","authors":"Paul J. Irvine ,&nbsp;Egle Karmaziene","doi":"10.1016/j.jbankfin.2025.107509","DOIUrl":"10.1016/j.jbankfin.2025.107509","url":null,"abstract":"<div><div>We use recent European restrictions to evaluate how traders substitute across available dark pools. Our findings suggest that restricting dark trading at the most prominent platform has a detrimental effect on dark trading activity. Annual dark trading in a restricted stock decreases by more than 50 % over the six-month restriction period. Consistent with investors’ sticky relationships with specific dark pools, our results suggest that substitution across dark pools is remarkably low. Despite the availability of alternative dark pools, traders are unwilling to trade elsewhere. Our study provides evidence that dark trading is not a market of exchanges, but rather a collection of independent silos. This fact has implications for the vulnerability of dark trading to the introduction of an HFT into the pool, and sharpens our understanding of how the pecking order theory of trading actually functions.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107509"},"PeriodicalIF":3.6,"publicationDate":"2025-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144569830","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
Financial development and the effectiveness of macroprudential and capital flow management measures 金融发展与宏观审慎和资本流动管理措施的有效性
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-27 DOI: 10.1016/j.jbankfin.2025.107504
Yusuf Soner Başkaya , Ilhyock Shim , Philip Turner
{"title":"Financial development and the effectiveness of macroprudential and capital flow management measures","authors":"Yusuf Soner Başkaya ,&nbsp;Ilhyock Shim ,&nbsp;Philip Turner","doi":"10.1016/j.jbankfin.2025.107504","DOIUrl":"10.1016/j.jbankfin.2025.107504","url":null,"abstract":"<div><div>Using quarterly data on macroprudential policy (MaPP) measures and capital flow management measures (CFMs) in 39 economies over 2000–2020, we analyse how domestic credit and cross-border capital flows respond to such measures. We distinguish price- and quantity-based MaPP measures and CFMs, and examine if the level of financial development matters in explaining policy effectiveness. Tightening MaPP measures significantly reduce household credit when the level of financial development is relatively low, and this is driven more by price-based MaPP measures. Also, price- and quantity-based CFMs slow down bank inflows with the former effective at relatively low levels of financial development and the latter at relatively high levels. Finally, we present evidence on leakages associated with quantity-based measures. Tightening quantity-based CFMs increases offshore bond issuance when the level of financial development is relatively low, while tightening quantity-based MaPP measures increase bank and bond inflows when financial development is relatively high.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107504"},"PeriodicalIF":3.6,"publicationDate":"2025-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144634327","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 stochastic model for predicting the response time of green vs brown stocks to climate change news risk 预测绿色和棕色树木对气候变化新闻风险响应时间的随机模型
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-24 DOI: 10.1016/j.jbankfin.2025.107507
Hany Fahmy
{"title":"A stochastic model for predicting the response time of green vs brown stocks to climate change news risk","authors":"Hany Fahmy","doi":"10.1016/j.jbankfin.2025.107507","DOIUrl":"10.1016/j.jbankfin.2025.107507","url":null,"abstract":"<div><div>We model the dynamic evolution of the attention process over the duration of climate change news events as a Brownian motion with an absorbing barrier, where attention to the news event ceases. In this framework, the duration of the underlying news event is a random variable whose probability distribution is the Inverse Gaussian (IG). We show that the IG distribution of news duration can be used to predict the response time of asset prices to climate news risk. We test the empirical validity of our model by constructing two novel climate news duration data sets: a daily duration and an hour-by-hour intra-news duration. At the daily frequency, our model predicts the response time of green versus brown firms’ stock prices to climate news risk. We demonstrate how this response time can enhance the precision of conventional risk management statistics, e.g., Value at Risk and expected shortfall, and in consequence improves the efficiency of managing firms’ exposures to such risk. At the high frequency, we extend the autoregressive conditional duration (ACD) model and show that, in an IG-ACD-GARCH framework, climate change news arrivals contribute to the volatility of green (but not brown) firms’ returns. This finding is attributed to public and investors’ concerns about climate change or to their belief that climate transition policies are ineffective in combating climate change.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107507"},"PeriodicalIF":3.6,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144535973","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
Bank board structure and loan syndication 银行董事会结构和银团贷款
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-24 DOI: 10.1016/j.jbankfin.2025.107511
Lindsay Baran , Steven A. Dennis , Maneesh K. Shukla
{"title":"Bank board structure and loan syndication","authors":"Lindsay Baran ,&nbsp;Steven A. Dennis ,&nbsp;Maneesh K. Shukla","doi":"10.1016/j.jbankfin.2025.107511","DOIUrl":"10.1016/j.jbankfin.2025.107511","url":null,"abstract":"<div><div>We study the impact of bank board structure as a signaling mechanism in loan syndication. We find that the quality of the lead arranger’s board, and specifically the monitoring quality of the board, has a positive effect on the ability to syndicate a loan. The impact of board quality is separate and distinct from lead arranger reputation. Board monitoring quality plays a more important role when the borrower and lead arranger have no prior relationship, after the bankruptcy of an existing borrower, and during the financial crisis. We posit that one channel for our findings is through board oversight of the CEO, and we provide evidence that CEO quality partially mediates the relationship between board quality and loan syndication. Overall, we conclude the quality of the lead arranger’s board, as a separate and distinct effect to reputation, serves as a credible signal to participant banks, mitigating moral hazard and adverse selection concerns.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107511"},"PeriodicalIF":3.6,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144580590","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
Life insurance convexity 人寿保险的凸性
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-23 DOI: 10.1016/j.jbankfin.2025.107502
Christian Kubitza , Nicolaus Grochola , Helmut Gründl
{"title":"Life insurance convexity","authors":"Christian Kubitza ,&nbsp;Nicolaus Grochola ,&nbsp;Helmut Gründl","doi":"10.1016/j.jbankfin.2025.107502","DOIUrl":"10.1016/j.jbankfin.2025.107502","url":null,"abstract":"<div><div>Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document empirically by exploiting plausibly exogenous variation in monetary policy. Using a calibrated model, we examine the impact of surrender options on insurers’ liquidity and portfolio rebalancing during an interest rate rise. We show how asset sales result from insurer balance sheet dynamics and explore their interaction with investment strategies and surrender value guarantees.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107502"},"PeriodicalIF":3.6,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144523066","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
Newswire tone-overlay commodity portfolios Newswire tone-overlay商品投资组合
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-21 DOI: 10.1016/j.jbankfin.2025.107501
Adrian Fernandez-Perez , Ana-Maria Fuertes , Joëlle Miffre , Nan Zhao
{"title":"Newswire tone-overlay commodity portfolios","authors":"Adrian Fernandez-Perez ,&nbsp;Ana-Maria Fuertes ,&nbsp;Joëlle Miffre ,&nbsp;Nan Zhao","doi":"10.1016/j.jbankfin.2025.107501","DOIUrl":"10.1016/j.jbankfin.2025.107501","url":null,"abstract":"<div><div>This paper introduces the tone-overlay framework for adjusting traditional commodity signals based on the level of salient optimism or pessimism in commodity newswires. By implementing the novel tone-overlay allocation strategy on 26 commodities using traditional allocation signals, we demonstrate that the resulting long-short portfolios yield substantial performance gains compared to the corresponding plain-vanilla traditional portfolios. Our findings suggest that newswire tone provides short-term predictive power for commodity futures returns, beyond well-known commodity characteristics. The tone-overlay portfolios harness a temporary mispricing that reflects an overreaction of commodity futures prices to commodity-specific newswire tone. The outperformance of the tone overlay strengthens with the salience of the newswire tone, consistent with theories of limited investor attention.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107501"},"PeriodicalIF":3.6,"publicationDate":"2025-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144523092","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
Foreign bank lending during COVID-19 COVID-19期间外国银行贷款
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-21 DOI: 10.1016/j.jbankfin.2025.107488
Yusuf Emre Akgündüz , Seyit Mümin Cılasun , H. Özlem Dursun-de Neef , Yavuz Selim Hacıhasanoğlu , Ibrahim Yarba
{"title":"Foreign bank lending during COVID-19","authors":"Yusuf Emre Akgündüz ,&nbsp;Seyit Mümin Cılasun ,&nbsp;H. Özlem Dursun-de Neef ,&nbsp;Yavuz Selim Hacıhasanoğlu ,&nbsp;Ibrahim Yarba","doi":"10.1016/j.jbankfin.2025.107488","DOIUrl":"10.1016/j.jbankfin.2025.107488","url":null,"abstract":"<div><div>We study whether foreign banks’ exposure to the pandemic in their home countries affected their lending in Türkiye. Although foreign banks issued more loans than domestic banks, the ones with higher exposure to the pandemic decreased their lending significantly: 1 percentage point higher number of deaths per thousand people in their home countries led to an almost 0.5 percent reduction in lending. This reduction was alleviated by the fiscal support provided in their home countries. Our results support an international spillover of the pandemic shock and the implemented fiscal policies via banks.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107488"},"PeriodicalIF":3.6,"publicationDate":"2025-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144365525","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
Seeing is believing: Tourism and foreign equity investments 眼见为实：旅游业和外国股权投资
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-19 DOI: 10.1016/j.jbankfin.2025.107498
Constantinos Antoniou , Carina Cuculiza , Alok Kumar , Lizhengbo Yang
{"title":"Seeing is believing: Tourism and foreign equity investments","authors":"Constantinos Antoniou ,&nbsp;Carina Cuculiza ,&nbsp;Alok Kumar ,&nbsp;Lizhengbo Yang","doi":"10.1016/j.jbankfin.2025.107498","DOIUrl":"10.1016/j.jbankfin.2025.107498","url":null,"abstract":"<div><div>This study examines whether international tourism affects financial market investments. Using over two decades of data for more than 30 countries, we find that recreational travel between countries is associated with higher levels of foreign equity investments and reduced home bias. This evidence of tourism-induced foreign investment is consistent with the familiarity hypothesis and is unlikely to reflect superior information. We alleviate potential endogeneity concerns using several econometric techniques, including instrumental variables, quasi-natural experiments, and multiple placebo tests. Collectively, these results suggest that tourism has positive externalities in financial markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107498"},"PeriodicalIF":3.6,"publicationDate":"2025-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144335886","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
Sovereign loan guarantees and financial stability 主权贷款担保和金融稳定
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-13 DOI: 10.1016/j.jbankfin.2025.107483
Ivan De Lorenzo Buratta , Tiago Pinheiro
{"title":"Sovereign loan guarantees and financial stability","authors":"Ivan De Lorenzo Buratta ,&nbsp;Tiago Pinheiro","doi":"10.1016/j.jbankfin.2025.107483","DOIUrl":"10.1016/j.jbankfin.2025.107483","url":null,"abstract":"<div><div>We analyze the effects of sovereign loan guarantees on financial stability in Portugal using a DSGE model. Sovereign loan guarantees decrease the default rate of banks and increase credit. On the other hand, guarantees increase the leverage and default rate of firms. These effects are larger the lower the sensitivity of the capital of banks to capital requirements. Behind these results are the reduction in regulatory risk-weights and the transfer of loan losses from banks to the sovereign brought by sovereign loan guarantees. A decomposition of the impact of sovereign loan guarantees suggests that insuring banks against loan losses can complement and enhance conventional macroprudential policy.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107483"},"PeriodicalIF":3.6,"publicationDate":"2025-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144365526","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
Predicting IPO first-day returns: Evidence from machine learning analyses* 预测IPO首日收益：来自机器学习分析的证据*
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-10 DOI: 10.1016/j.jbankfin.2025.107500
Gonul Colak , Mengchuan Fu , Iftekhar Hasan
{"title":"Predicting IPO first-day returns: Evidence from machine learning analyses*","authors":"Gonul Colak ,&nbsp;Mengchuan Fu ,&nbsp;Iftekhar Hasan","doi":"10.1016/j.jbankfin.2025.107500","DOIUrl":"10.1016/j.jbankfin.2025.107500","url":null,"abstract":"<div><div>Predicting IPO first-day returns is inherently challenging due to the wide range of contributing factors, each with distinct statistical properties. We assess the performance of several machine learning (ML) techniques and identify XGBoost as the most statistically effective model for forecasting first-day returns. Using a comprehensive set of 863 pre-IPO variables, our high-performing predictive model accurately estimates both the direction and magnitude of IPO first-day returns. The most influential predictors include underwriter agency measures, price revision, and the free-float fraction. Using a rolling-window predictive approach, the model demonstrates substantial practical value, generating approximately $300 billion in gains from IPOs with positive first-day returns and avoiding more than $22 billion in losses from those with negative returns over the 2000–2016 period.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107500"},"PeriodicalIF":3.6,"publicationDate":"2025-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144471197","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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