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Effectiveness of warning signal and overconfident investors 警告信号的有效性和投资者的过度自信
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.2025.107617
Koen Inghelbrecht , Mariachiara Tedde
{"title":"Effectiveness of warning signal and overconfident investors","authors":"Koen Inghelbrecht ,&nbsp;Mariachiara Tedde","doi":"10.1016/j.jbankfin.2025.107617","DOIUrl":"10.1016/j.jbankfin.2025.107617","url":null,"abstract":"<div><div>This study investigates the impact of the MiFID-mandated warning signal on curbing excessive trading behavior among investors. According to MiFID regulations, brokers must warn investors when a financial product is deemed inappropriate. Our theoretical model proposes that an effective warning signal can reduce investors demand for risky assets, thereby lowering transaction costs and potentially reducing broker profit. Furthermore, a salient warning signal may improve investors payoffs. Using a regression discontinuity design and a unique brokerage dataset, our empirical analysis confirms these propositions. We find that an effective warning signal is associated with reduced excessive trading, lower transaction costs, and, to some extent, better investor performance. Additionally, we examine the influence of investor overconfidence in financial literacy on the signal effectiveness, finding that overconfidence (partially) counteracts the signal impact.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107617"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929229","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
Tail risk exposure and the cross section of expected stock returns 尾部风险暴露与股票预期收益的横截面
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.2025.107626
Maxime L.D. Nicolas
{"title":"Tail risk exposure and the cross section of expected stock returns","authors":"Maxime L.D. Nicolas","doi":"10.1016/j.jbankfin.2025.107626","DOIUrl":"10.1016/j.jbankfin.2025.107626","url":null,"abstract":"<div><div>This paper investigates whether stocks earn a premium for their sensitivity to market tail events, referred to as tail risk exposure (TRE). We show that commonly used estimators of TRE, typically based on tail dependence between asset and market returns exhibit significant statistical biases, particularly in the presence of general market dependence. Empirically, we find that tail risk is priced only in low-correlation stocks, where average market comovement is weak. This suggests that investors underestimate TRE in low-correlation stocks and overestimate it in high-correlation stocks. To address this, we propose a novel double-sort portfolio strategy that accounts for both TRE and correlation, allowing us to isolate and accurately price TRE. This strategy consistently outperforms traditional single-sort methods in terms of predictive accuracy and risk-adjusted returns.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107626"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929156","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
Gas price caps and volatility transmission in commodity and equity markets 天然气价格上限与大宗商品和股票市场波动传导
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2026-01-03 DOI: 10.1016/j.jbankfin.2025.107614
Corrado Botta , Roy Cerqueti , Roberto Savona
{"title":"Gas price caps and volatility transmission in commodity and equity markets","authors":"Corrado Botta ,&nbsp;Roy Cerqueti ,&nbsp;Roberto Savona","doi":"10.1016/j.jbankfin.2025.107614","DOIUrl":"10.1016/j.jbankfin.2025.107614","url":null,"abstract":"<div><div>We study the effects of alternative price-cap mechanisms applied to the European gas market on price and volatility dynamics. Within a multivariate framework with dynamic correlations, we simulate counterfactual policy regimes and trace their spillovers to energy, agricultural, metal, and equity markets. We focus on the European natural gas market from January 2013 to October 2023. The results show the following. First, a cap rule based on a fixed price mechanism consistently lowers energy prices, even if volatility can be high. Second, the gas price cap measure adopted by the European Commission and currently enforced is more conservative in terms of the probability of activation. Third, a mechanism directly related to gas price volatility performs better in containing energy prices and taming volatility spillover effects in commodity and equity markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107614"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145979529","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
Vanity in teams 团队中的虚荣心
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2026-01-08 DOI: 10.1016/j.jbankfin.2026.107637
Daniel Dorn , Pramod Kumar Yadav
{"title":"Vanity in teams","authors":"Daniel Dorn ,&nbsp;Pramod Kumar Yadav","doi":"10.1016/j.jbankfin.2026.107637","DOIUrl":"10.1016/j.jbankfin.2026.107637","url":null,"abstract":"<div><div>We hypothesize that vanity amplifies realization utility in teams; admitting mistakes is particularly painful when mistakes have to be admitted to self <em>and</em> colleagues. Consistent with the Vanity hypothesis, U.S. stock funds run by teams hold on to losers when losers were initiated by a subset of the team (to avoid admitting a mistake to their non-initiating colleagues), when initiators of loser positions are more experienced (to avoid losing authority by admitting mistakes to junior colleagues), and when all colleagues agree that a position is a loser. Vanity is costly – losers held underperform by a risk-adjusted 1% annually.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107637"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146038611","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
Cash-back rewards: Effects on spending and debt accumulation 现金返还奖励：对支出和债务积累的影响
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.2025.107616
Sumit Agarwal , Swee Hoon Ang , Yonglin Wang , Jian Zhang
{"title":"Cash-back rewards: Effects on spending and debt accumulation","authors":"Sumit Agarwal ,&nbsp;Swee Hoon Ang ,&nbsp;Yonglin Wang ,&nbsp;Jian Zhang","doi":"10.1016/j.jbankfin.2025.107616","DOIUrl":"10.1016/j.jbankfin.2025.107616","url":null,"abstract":"<div><div>This paper assesses the impact on consumption and debt repayment from a credit card promotional campaign offering cash-back rewards. Using account-level administrative data from a large U.S. financial institution, we employ a generalized difference-in-differences design and find that even with a small 1% cash-back incentive, the rewards program leads to a substantial change in consumer behavior. Cardholders joining the rewards program increase their credit card spending by 32% and their debt by 8%, with such behavior persisting in the long run. Evidence from credit bureau confirms that the higher spending and debt are not driven by cross-card substitution or similar promotions by other card issuers. Different consumer segments respond differentially to the promotional campaign. Consumers with a higher level of liquidity constraints and who are less financially literate demonstrate more pronounced responses.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107616"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929233","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
Extreme heat and stock market participation: Evidence from China 极端高温与股市参与：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: 2026-01-10 DOI: 10.1016/j.jbankfin.2026.107638
Mengmeng Guo , Na Wu , Junyi Zhao
{"title":"Extreme heat and stock market participation: Evidence from China","authors":"Mengmeng Guo ,&nbsp;Na Wu ,&nbsp;Junyi Zhao","doi":"10.1016/j.jbankfin.2026.107638","DOIUrl":"10.1016/j.jbankfin.2026.107638","url":null,"abstract":"<div><div>This paper investigates the impact of extreme heat exposure on household financial risk-taking. Using data from the China Household Finance Survey (CHFS) and meteorological data, we find that extreme heat has a statistically and economically significant negative effect on households' stock market participation and the share of risky assets in their portfolios. This deterrent effect is robust across a comprehensive series of identification checks and alternative specifications. We identify three primary channels through which this effect operates: updated climate beliefs, uninsurable income shocks, and health shocks. Notably, our heterogeneity analysis reveals that more financially sophisticated households—those with higher income and literacy—exhibit a stronger negative response. This suggests that the withdrawal from risky assets is not merely a passive reaction to liquidity needs but an active response to heightened risk perceptions, consistent with theories of disappointment aversion. Moreover, we find that the negative impact of extreme heat is attenuated for households with better access to credit and stronger social capital, but is amplified for those with financial constraints such as mortgage debt. Our findings provide micro-level evidence on how a pervasive physical climate risk shapes household portfolio choice.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107638"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145979534","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
Guarantees, risk shifting and credit crunches 担保、风险转移和信贷紧缩
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-03-01 Epub Date: 2025-12-26 DOI: 10.1016/j.jbankfin.2025.107615
Caio Machado , Ana Elisa Pereira
{"title":"Guarantees, risk shifting and credit crunches","authors":"Caio Machado ,&nbsp;Ana Elisa Pereira","doi":"10.1016/j.jbankfin.2025.107615","DOIUrl":"10.1016/j.jbankfin.2025.107615","url":null,"abstract":"<div><div>This paper analyzes the role of guarantees when a policymaker wants to avoid a credit crunch, but at the same time is concerned that its policies may lead to excessive risk taking. Banks face a coordination problem in their investment decisions and are allowed to risk-shift to projects with smaller expected return and higher volatility. Government guarantees can avoid a freeze in funding at the cost of increasing risk-shifting behavior. When fundamentals are sufficiently low, the policymaker prefers not to intervene and a credit crunch happens. The moral hazard problem makes guarantees more powerful, reducing the amount of guarantees needed to avoid a coordination failure.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"184 ","pages":"Article 107615"},"PeriodicalIF":3.8,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929232","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 effects of reduced availability of shadow banking financing: Evidence from employment 影子银行融资可得性降低的影响：来自就业的证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-02-01 Epub Date: 2025-12-27 DOI: 10.1016/j.jbankfin.2025.107618
Siyi He , Ceng Zeng
{"title":"The effects of reduced availability of shadow banking financing: Evidence from employment","authors":"Siyi He ,&nbsp;Ceng Zeng","doi":"10.1016/j.jbankfin.2025.107618","DOIUrl":"10.1016/j.jbankfin.2025.107618","url":null,"abstract":"<div><div>We provide firm-level evidence that reduced availability of shadow banking financing affects firms’ employment decisions. Using China’s 2017 shadow banking regulations as an exogenous shock to constrain the availability of shadow banking, we find that the employment level and the ratio of highly skilled employees in affected firms significantly decrease after the regulations are instituted. The plausible underlying channels are intensification of financial constraints and reduction of R&amp;D investment. The effects are more pronounced for non-state-owned enterprises, labor-intensive firms, and firms in provinces that are more dependent on shadow banking. Furthermore, affected firms strategically adopt outsourcing of their human resources, but the firms’ employment changes still harm their financial performance and total factor productivity.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107618"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885272","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 tale of two banking regulations: Impact of regulatory overlap on the analysis of liquidity creation 两个银行监管的故事：监管重叠对流动性创造分析的影响
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-02-01 Epub Date: 2025-12-24 DOI: 10.1016/j.jbankfin.2025.107613
Katherine Wood
{"title":"A tale of two banking regulations: Impact of regulatory overlap on the analysis of liquidity creation","authors":"Katherine Wood","doi":"10.1016/j.jbankfin.2025.107613","DOIUrl":"10.1016/j.jbankfin.2025.107613","url":null,"abstract":"<div><div>Community banks are a crucial part of the economy, so evaluating the consequences of regulatory changes impacting this subset of banks is important. Using amendments in 2005 to the FDIC Improvement Act (FDICIA) and the Community Reinvestment Act (CRA), I examine how changes to a community bank’s regulatory requirements affect liquidity creation. I show that treating each regulatory change as a separate event leads to confounding results. When ignoring the overlap of the regulatory requirement, the results suggest that both regulations lead to increases in liquidity creation. However, after disentangling the effects of the two regulatory changes, I show that only the amendment to the CRA drives the results. Failure to disentangle the two changes leads to an overstatement of the increase in liquidity creation. Additionally, I find no evidence that the regulatory change leads to outcomes contradictory to the purposes of the CRA.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107613"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885273","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 artificial intelligence mitigate climate change exposure? 人工智能能减轻气候变化风险吗？
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-02-01 Epub Date: 2025-12-29 DOI: 10.1016/j.jbankfin.2025.107623
Junru Zhang , Le Luo , Joey Wenling Yang
{"title":"Does artificial intelligence mitigate climate change exposure?","authors":"Junru Zhang ,&nbsp;Le Luo ,&nbsp;Joey Wenling Yang","doi":"10.1016/j.jbankfin.2025.107623","DOIUrl":"10.1016/j.jbankfin.2025.107623","url":null,"abstract":"<div><div>Despite the growing integration of artificial intelligence (AI) into business models, studies of its impact on corporate climate change exposure remain scarce. Through an examination of AI-related innovations among US-listed firms from 2001 to 2019, we present compelling evidence that AI innovation effectively mitigates firms’ climate change exposure. In particular, it reduces firms’ exposure to regulatory and physical risks related to climate change through improved carbon management efficiency, with computer vision and control and planning being the most effective types in this context. Our findings are particularly pronounced for mature firms and those facing greater regulatory intervention. The results withstand rigorous tests that address endogeneity concerns. Our study provides strong support for firms to adopt AI innovations to achieve carbon neutrality, contributing to the ongoing discourse regarding AI trade-offs. Our findings also offer valuable insights into the development of climate risk mitigation strategies.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107623"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885271","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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