Journal of Banking & Finance最新文献

{"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}

{"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}

{"title":"Board declassification and bargaining power","authors":"Miroslava Straska,&nbsp;H. Gregory Waller","doi":"10.1016/j.jbankfin.2025.107490","DOIUrl":"10.1016/j.jbankfin.2025.107490","url":null,"abstract":"<div><div>We examine the relations between recent board declassifications, takeover activity and takeover gains over the period 2003–2014. We report that firms that declassified their boards in the previous five years are more likely to be a takeover target compared to firms whose boards remain classified. We also report that, once targeted, these firms receive lower takeover premiums and realize lower abnormal returns around the announcement of the transaction. Finally, we find that these firms obtain a smaller share of abnormal dollar merger gains. These results are consistent with the interpretation that firms that declassified their boards have lost some bargaining power in negotiating M&amp;A transactions.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107490"},"PeriodicalIF":3.6,"publicationDate":"2025-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144489558","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}

{"title":"Easing of borrower-based measures: Evidence from Czech loan-level data","authors":"Martin Hodula ,&nbsp;Lukáš Pfeifer ,&nbsp;Ngoc Anh Ngo","doi":"10.1016/j.jbankfin.2025.107489","DOIUrl":"10.1016/j.jbankfin.2025.107489","url":null,"abstract":"<div><div>We analyze the impact of easing borrower-based measures on residential mortgage credit and borrower characteristics in the Czech Republic in early 2020. This easing included a relaxation of the LTV limit and the abolition of the DTI and DSTI limits. Our findings indicate that affected households increased borrowing, purchased more expensive houses, and accepted lower collateral values. Borrowers' debt service burdens rose but were offset by income growth. We find that: (i) LTV-constrained borrowers exhibited cash-retention behavior, while DTI- and DSTI-constrained borrowers aligned with the financial accelerator motive; (ii) LTV relaxation had a greater effect in poorer counties, while the abolition of DTI and DSTI limits affected richer regions; (iii) younger borrowers were more impacted by LTV and DTI easing, whereas DSTI easing influenced older borrowers; and (iv) LTV relaxation primarily affected first-time borrowers, while the abolition of DTI and DSTI limits impacted repeat borrowers, who obtained larger mortgages and purchased more expensive properties.</div><div>We analyze the impact of easing borrower-based measures on residential mortgage credit and borrower characteristics in the Czech Republic in early 2020. This easing included a relaxation of the LTV limit and the abolition of the DTI and DSTI limits. Our findings indicate that affected households increased borrowing, purchased more expensive houses, and accepted lower collateral values. Borrowers' debt service burdens rose but were offset by income growth. We find that: (i) LTV-constrained borrowers exhibited cash-retention behavior, while DTI- and DSTI-constrained borrowers aligned with the financial accelerator motive; (ii) LTV relaxation had a greater effect in poorer counties, while the abolition of DTI and DSTI limits affected richer regions; (iii) younger borrowers were more impacted by LTV and DTI easing, whereas DSTI easing influenced older borrowers; and (iv) LTV relaxation primarily affected first-time borrowers, while the abolition of DTI and DSTI limits impacted repeat borrowers, who obtained larger mortgages and purchased more expensive properties.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107489"},"PeriodicalIF":3.6,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144253838","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}

{"title":"Firm-initiated stock trading suspension during a market crash","authors":"Jennifer Huang ,&nbsp;Donghui Shi ,&nbsp;Zhongzhi Song ,&nbsp;Bin Zhao","doi":"10.1016/j.jbankfin.2025.107473","DOIUrl":"10.1016/j.jbankfin.2025.107473","url":null,"abstract":"<div><div>We investigate the determinants and effects of firm-initiated trading suspension during the Chinese stock market crash in July 2015. Our findings reveal that firms implemented suspensions to prevent investors’ panic selling, mitigate negative economic feedback, and safeguard specific shareholders’ interests. Once trading resumes, suspended stocks quickly align with the returns of comparable stocks, indicating that investors do not appear to penalize these firms in terms of valuation. Regarding post-resumption trading profits, small individual investors and institutions experience losses, whereas large individual investors and state agencies realize gains.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107473"},"PeriodicalIF":3.6,"publicationDate":"2025-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144105297","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}

{"title":"Gender composition and conflicts of interest in the financial industry: Evidence from analysts’ target price optimism","authors":"Andria Charalambous ,&nbsp;Alan Duboisée de Ricquebourg ,&nbsp;Elvira Scarlat ,&nbsp;Karin Shields","doi":"10.1016/j.jbankfin.2025.107484","DOIUrl":"10.1016/j.jbankfin.2025.107484","url":null,"abstract":"<div><div>A barrage of regulatory requirements has been issued to increase the impartiality of sell-side analysts’ research reports and create a wall between equity research and investment banking departments. Yet studies suggest a persistent organizational culture within the profession that encourages optimistically biased research reports for current and potential investment banking clients. To examine potential solutions to this issue, we focus on sell-side analysts’ target price optimism and find that analysts at brokerages with higher female representation issue significantly less optimistic target prices, especially when they face incentives to inflate forecasts due to their brokerage’s affiliation to the firm being analyzed. To identify the mechanism behind this result, we explore analysts’ optimism bias in situations when mergers between banks change gender composition in a way that is exogenous to the analysts, as well as when analysts voluntarily switch between brokerages with different gender compositions. The results of these analyses, along with a lag and forward test of the relation between the female proportion of analysts and optimism bias, indicate that gender composition plays a significant role in shaping brokerage culture. We rule out that results are driven by the gender of the individual analyst and confirm our results’ robustness to various specifications. Our findings suggest the potential for gender composition of the workforce to aid self-regulation in the financial industry.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107484"},"PeriodicalIF":3.6,"publicationDate":"2025-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144518749","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}

{"title":"Crowdedness, mispricing, crashes, and spikes","authors":"Boulis Maher Ibrahim ,&nbsp;Iordanis Angelos Kalaitzoglou","doi":"10.1016/j.jbankfin.2025.107485","DOIUrl":"10.1016/j.jbankfin.2025.107485","url":null,"abstract":"<div><div>This study proposes “reflexive crowdedness” as a mechanism through which order flow can become toxic at ultra-high frequencies (UHFs). Crowdedness, a coordination problem arising from the inability of traders to accurately gauge competition, leads to significant unbalanced mispricing in the form of liquidity costs. This mispricing is amplified by (reflexive) feedforward loops between liquidity and price components and can accumulate rapidly when high-speed traders engage. We develop an empirical framework to examine this mechanism in UHF trading. Results on trades of Dow 30 stocks show that reflexive crowdedness triggers speculative algorithmic trading and drives order flow toxicity and market instability at high frequencies. We formulate a UHF measure of reflexive crowdedness and find it predicts various UHF phenomena, including flash crashes and spikes, more reliably than price volatility and the Volume Synchronised Probability of Informed Trading (VPIN). This makes this measure highly relevant to investors, traders, market operators, and regulators.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107485"},"PeriodicalIF":3.6,"publicationDate":"2025-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144134256","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}

{"title":"Erratum to “Corporate voluntary disclosure via WeChat” [Journal of Banking & Finance 176 (2025)/107393]","authors":"Ying Li ,&nbsp;Qianqian Huang ,&nbsp;Tao Yuan","doi":"10.1016/j.jbankfin.2025.107476","DOIUrl":"10.1016/j.jbankfin.2025.107476","url":null,"abstract":"","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107476"},"PeriodicalIF":3.6,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144221381","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}

{"title":"Credit rating and stock return comovement","authors":"Jianfeng Shen ,&nbsp;Huiping Zhang ,&nbsp;Weiqi Zhang","doi":"10.1016/j.jbankfin.2025.107474","DOIUrl":"10.1016/j.jbankfin.2025.107474","url":null,"abstract":"<div><div>Firms with similar credit ratings, particularly high-yield ones, exhibit strong comovement in stock returns. After a firm is downgraded to high-yield status, it comoves more with other high-yield firms and less with investment-grade ones, a pattern not fully explained by changes in fundamentals or other firm characteristics. We find evidence that suggests the investor clientele explanation for rating-related comovement, potentially arising from heterogeneous lottery preferences. High-yield-averse funds reduce their holdings of firms being downgraded to high-yield status, particularly those that are more lottery-like, much more significantly than high-yield-prone funds. Furthermore, a firm’s stock returns become sensitive to flows into high-yield-prone funds after being downgraded to high-yield status, consistent with the price impact of rating-based category investing.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107474"},"PeriodicalIF":3.6,"publicationDate":"2025-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941184","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}

{"title":"Quantitative easing, uncertainty, and risk aversion","authors":"Leonidas S. Rompolis","doi":"10.1016/j.jbankfin.2025.107475","DOIUrl":"10.1016/j.jbankfin.2025.107475","url":null,"abstract":"<div><div>This study examines the impact of European Central Bank (ECB) monetary policy surprises on economic uncertainty and investor risk aversion. We identify four factors using a high-frequency event-study approach. These factors measure surprises regarding the current setting of policy rates (Target), the bank’s future policy path (Forward Guidance), and quantitative easing (QE). The fourth factor reflects unexpected news about future macroeconomic conditions. Our main finding is that quantitative tightening surprises, proxied by positive QE surprises, increase economic uncertainty and investor risk aversion. Additionally, we document the significant response of key macroeconomic variables to these surprises.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"177 ","pages":"Article 107475"},"PeriodicalIF":3.6,"publicationDate":"2025-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941185","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}