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Information spillover and cross-predictability of currency returns: An analysis via Machine Learning 信息溢出和货币回报的交叉可预测性：机器学习分析
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-26 DOI: 10.1016/j.jbankfin.2024.107313
Yuecheng Jia , Yuzheng Liu , Yangru Wu , Shu Yan
{"title":"Information spillover and cross-predictability of currency returns: An analysis via Machine Learning","authors":"Yuecheng Jia ,&nbsp;Yuzheng Liu ,&nbsp;Yangru Wu ,&nbsp;Shu Yan","doi":"10.1016/j.jbankfin.2024.107313","DOIUrl":"10.1016/j.jbankfin.2024.107313","url":null,"abstract":"<div><div>This paper documents significant cross-return predictability of news variables, derived from textual analysis of news articles, for a broad cross-section of currencies. By employing forecasts based on the Least Absolute Shrinkage and Selection Operator (<em>LASSO</em>) that incorporate both news variables and forward discounts, we develop a notably profitable trading strategy. This strategy proves robust against transaction costs, risk adjustments, and controls for currency characteristics. Further analyses indicate that both risks and market frictions contribute to the profitability of the trading strategy, highlighting the crucial role of news in financial markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107313"},"PeriodicalIF":3.6,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142358042","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 firm culture influence corporate financing decisions? Evidence from debt maturity choice 企业文化影响企业融资决策吗？债务期限选择的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-24 DOI: 10.1016/j.jbankfin.2024.107310
Sudip Datta , Trang Doan , Francesca Toscano
{"title":"Does firm culture influence corporate financing decisions? Evidence from debt maturity choice","authors":"Sudip Datta ,&nbsp;Trang Doan ,&nbsp;Francesca Toscano","doi":"10.1016/j.jbankfin.2024.107310","DOIUrl":"10.1016/j.jbankfin.2024.107310","url":null,"abstract":"<div><div>This study establishes a relation between corporate culture and debt maturity choice. Specifically, superior corporate culture is associated with the choice of shorter-term debt, supporting the notion that superior culture reduces managerial agency problems resulting in managers being more receptive to external monitoring through the choice of shorter-term debt. The culture subcomponents of integrity, teamwork, and innovation are found to have a meaningful influence on the debt maturity structure choice. The relation between culture and debt maturity is more pronounced in firms with higher managerial stock ownership and those that are financially constrained, but is weakened in firms with a greater CEO sensitivity to stock prices. Additionally, firms with superior culture are shown to have higher long-term credit ratings. These findings contribute at the confluence of corporate culture and debt financing literatures. A battery of robustness tests, including addressing endogeneity concerns, validate the findings.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107310"},"PeriodicalIF":3.6,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142324119","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 rise of ESG rating agencies and management of corporate ESG violations 环境、社会和公司治理（ESG）评级机构的兴起以及对企业环境、社会和公司治理违规行为的管理
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-21 DOI: 10.1016/j.jbankfin.2024.107312
Albert Tsang , Yujie Wang , Yi Xiang , Li Yu
{"title":"The rise of ESG rating agencies and management of corporate ESG violations","authors":"Albert Tsang ,&nbsp;Yujie Wang ,&nbsp;Yi Xiang ,&nbsp;Li Yu","doi":"10.1016/j.jbankfin.2024.107312","DOIUrl":"10.1016/j.jbankfin.2024.107312","url":null,"abstract":"<div><div>In recent years, firms have increasingly come under scrutiny from environmental, social, and governance (ESG) rating agencies which systematically assess and publicize ESG-related information to diverse stakeholders. This study aims to investigate whether firms exhibit a heightened incentive to avoid ESG-related regulatory violations once they come under the coverage of ESG rating agencies. Analyzing data spanning from 2000 to 2018 and considering the coverage provided by four prominent ESG rating agencies to U.S. firms, we leverage the staggered initiation and intensity of this coverage. Our findings reveal a negative correlation between ESG violations and the commencement and extent of coverage by ESG rating agencies. This relationship is particularly pronounced for firms characterized by lower levels of corporate monitoring as indicated by fewer analysts providing coverage, limited media attention, weaker ESG commitments, and less disparate ESG ratings. Taken together, our study sheds light on the monitoring role of ESG rating agencies, illustrating their significance in incentivizing managers to mitigate ESG violations.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107312"},"PeriodicalIF":3.6,"publicationDate":"2024-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142358041","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
Banks incentive pay, diversification and systemic risk 银行激励薪酬、多样化和系统性风险
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-20 DOI: 10.1016/j.jbankfin.2024.107299
Fabio Castiglionesi , Shuo Zhao
{"title":"Banks incentive pay, diversification and systemic risk","authors":"Fabio Castiglionesi ,&nbsp;Shuo Zhao","doi":"10.1016/j.jbankfin.2024.107299","DOIUrl":"10.1016/j.jbankfin.2024.107299","url":null,"abstract":"<div><div>This paper analyzes the impact of incentive pay for bank managers on financial stability. The study focuses on two banks owned by risk-neutral principals but operated by risk-averse managers who decide on leverage and the extent of diversification into the other bank’s assets, both of which determine the systemic risk. To begin, we establish the optimal incentive pay contract assuming a planner seeks to maximize the total value of the banks. In equilibrium, we find that the contract excessively relies on relative performance evaluation, leading to an inefficiently high degree of diversification, leverage, and systemic risk. This outcome obtains even when the principal represents the interests of all stakeholders in an individual bank. We demonstrate that only regulation specifically targeting relative performance evaluation can restore efficiency, while existing regulations on managerial pay can inadvertently amplify systemic risk.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107299"},"PeriodicalIF":3.6,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319835","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
The value of say on pay 薪酬决定权的价值
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-19 DOI: 10.1016/j.jbankfin.2024.107311
Axel Kind , Marco Poltera , Johannes Zaia
{"title":"The value of say on pay","authors":"Axel Kind ,&nbsp;Marco Poltera ,&nbsp;Johannes Zaia","doi":"10.1016/j.jbankfin.2024.107311","DOIUrl":"10.1016/j.jbankfin.2024.107311","url":null,"abstract":"<div><div>We measure the impact of “say on pay” (SoP) – mandatory shareholder votes on top-management compensation – on the market value of voting rights. By exploiting the staggered introduction of SoP across 14 economies, we show that SoP does not automatically increase the value of shareholder voting rights. While stricter, binding SoP reforms increase voting values, looser advisory SoP laws decrease them. Firms that do not pay their CEOs excessively experience the largest decreases in voting values. Voting values also reflect a country’s level of investor protection, past dissent in SoP ballots, and dynamically adjust to changes in managerial compensation.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107311"},"PeriodicalIF":3.6,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142324118","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
Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices 冲突与强化的私人信息、信息聚合以及资产价格的时间序列特性
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-07 DOI: 10.1016/j.jbankfin.2024.107300
Charles Schnitzlein , Patricia Chelley-Steeley , James M Steeley
{"title":"Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices","authors":"Charles Schnitzlein ,&nbsp;Patricia Chelley-Steeley ,&nbsp;James M Steeley","doi":"10.1016/j.jbankfin.2024.107300","DOIUrl":"10.1016/j.jbankfin.2024.107300","url":null,"abstract":"<div><div>We study how the relationship between independent private information signals affects information aggregation in laboratory asset markets. We employ two mechanisms, a continuous double auction and a prediction market. Under both mechanisms, when information is reinforcing, partial information aggregation occurs. When information is in conflict, information aggregation lessens and attempts to profit from private information frequently harm informational efficiency. In both mechanisms, results become stronger with experience in previous experimental sessions, and provide a private information benchmark for studies of the implications of conflicting public information. Under reasonable assumptions, our results are consistent with both momentum effects and weak reversals.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107300"},"PeriodicalIF":3.6,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002140/pdfft?md5=bbd52b4d35eadacdb0bcedaf369ab712&pid=1-s2.0-S0378426624002140-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142310880","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
Cross-country determinants of market efficiency: A technical analysis perspective 市场效率的跨国决定因素：技术分析视角
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-05 DOI: 10.1016/j.jbankfin.2024.107297
Jiali Fang , Ben Jacobsen
{"title":"Cross-country determinants of market efficiency: A technical analysis perspective","authors":"Jiali Fang ,&nbsp;Ben Jacobsen","doi":"10.1016/j.jbankfin.2024.107297","DOIUrl":"10.1016/j.jbankfin.2024.107297","url":null,"abstract":"<div><p>This study examines the relative impact of seven factors, including herding, sentiments, and institutional quality, on varying levels of weak form market efficiency across 50 stock markets. The analysis focuses on the profitability of technical analysis trading strategies to address issues with other (statistical) market efficiency measures related to information and transaction costs (Griffin et al., 2010). Proxies for herding, institutional quality, and equity market development consistently emerge as the most significant cross-country determinants of relative market efficiency. In contrast, proxies for fractionalization, chaos, and investor protection play comparatively weaker roles. We also find no clear link between market efficiency and sentiment proxies.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107297"},"PeriodicalIF":3.6,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002115/pdfft?md5=fc63ff3c8d73ce8bf05a4f326a9b90ed&pid=1-s2.0-S0378426624002115-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142173685","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
Effects of macroprudential policy: Evidence from over 6000 estimates 宏观审慎政策的影响：来自 6000 多项估算的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-09-04 DOI: 10.1016/j.jbankfin.2024.107273
Juliana Araujo , Manasa Patnam , Adina Popescu , Fabian Valencia , Weijia Yao
{"title":"Effects of macroprudential policy: Evidence from over 6000 estimates","authors":"Juliana Araujo ,&nbsp;Manasa Patnam ,&nbsp;Adina Popescu ,&nbsp;Fabian Valencia ,&nbsp;Weijia Yao","doi":"10.1016/j.jbankfin.2024.107273","DOIUrl":"10.1016/j.jbankfin.2024.107273","url":null,"abstract":"<div><p>This paper builds a novel database on the effects of macroprudential policy drawing from 58 empirical studies, comprising over 6000 results on a wide range of instruments and outcome variables. It encompasses information on statistical significance, <em>standardized</em> magnitudes, and other characteristics of the estimates. Using meta-analysis techniques, the paper estimates average effects to find (i) statistically significant effects on credit, but with considerable heterogeneity across instruments; (ii) weaker and more imprecise effects on house prices; (iii) quantitatively stronger effects in emerging markets and among studies using micro-level data; and (iv) statistically significant evidence of leakages and spillovers. Other findings include relatively stronger impacts for tightening than loosening actions and negative effects on economic activity in the near term.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107273"},"PeriodicalIF":3.6,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142173686","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
Weather-related disasters and inflation in the euro area 欧元区与天气有关的灾害和通货膨胀
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-30 DOI: 10.1016/j.jbankfin.2024.107298
John Beirne , Yannis Dafermos , Alexander Kriwoluzky , Nuobu Renzhi , Ulrich Volz , Jana Wittich
{"title":"Weather-related disasters and inflation in the euro area","authors":"John Beirne ,&nbsp;Yannis Dafermos ,&nbsp;Alexander Kriwoluzky ,&nbsp;Nuobu Renzhi ,&nbsp;Ulrich Volz ,&nbsp;Jana Wittich","doi":"10.1016/j.jbankfin.2024.107298","DOIUrl":"10.1016/j.jbankfin.2024.107298","url":null,"abstract":"<div><p>This article investigates the impact of weather-related disasters on inflation in the euro area over the period 1996–2021. Using a panel structural vector autoregression approach, we explore whether weather-related disasters have a significant and persistent effect on inflation, as well as the role that demand-side and supply-side channels play as drivers of inflation. We also analyse the heterogeneous effects of inflation on different product categories. Our results suggest that weather-related disasters have a positive, non-persistent effect on inflation. This reflects the prevalence of negative supply shock channels and positive demand shock channels over negative demand shock channels. We also find that weather-related disasters have more pronounced effects on the inflation of product categories that represent a higher proportion of the spending of low-income households, implying that disasters reinforce inflation inequality. Overall, our results suggest that, as the climate crisis deepens, it might become increasingly challenging for the European Central Bank to control inflation and its inequality effects.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107298"},"PeriodicalIF":3.6,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142162725","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 quality of financial advice: What influences recommendations to clients? 财务建议的质量：是什么影响了向客户提供的建议？
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-28 DOI: 10.1016/j.jbankfin.2024.107291
Philippe d’Astous , Irina Gemmo , Pierre-Carl Michaud
{"title":"The quality of financial advice: What influences recommendations to clients?","authors":"Philippe d’Astous ,&nbsp;Irina Gemmo ,&nbsp;Pierre-Carl Michaud","doi":"10.1016/j.jbankfin.2024.107291","DOIUrl":"10.1016/j.jbankfin.2024.107291","url":null,"abstract":"<div><p>In this paper, we conduct a field experiment with a large sample of financial planner professionals in Canada to elicit factors which may influence client recommendations. Using repeated client vignettes, we find that recommendations are sensitive in expected ways to relative costs and benefits of particular products as well as client characteristics. We show that, in some domains, planners are more likely to recommend products they own themselves, their spouse owns, or they are licensed to sell. We provide evidence that product familiarity can negatively impact the quality of financial advice in specific situations. Finally, we find evidence for an effect of client involvement in the investment domain, but we do not find economically significant gender effects.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107291"},"PeriodicalIF":3.6,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S037842662400205X/pdfft?md5=0b105ba527c6237c93971c2f5b460527&pid=1-s2.0-S037842662400205X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142158088","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
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