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Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model 大动态协方差矩阵与异质自回归模型的投资组合选择
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-02 DOI: 10.1016/j.jbankfin.2025.107505
Igor Honig, Felix Kircher
{"title":"Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model","authors":"Igor Honig,&nbsp;Felix Kircher","doi":"10.1016/j.jbankfin.2025.107505","DOIUrl":"10.1016/j.jbankfin.2025.107505","url":null,"abstract":"<div><div>We propose a novel framework for modeling large dynamic covariance matrices via heterogeneous autoregressive volatility and correlation components. Our model provides direct forecasts of monthly covariance matrices and is flexible, parsimonious and simple to estimate using standard least squares methods. We address the problem of parameter estimation risks by employing nonlinear shrinkage methods, making our framework applicable in high dimensions. We perform a comprehensive empirical out-of-sample analysis and find significant statistical and economic improvements over common benchmark models. For minimum variance portfolios with over a thousand stocks, the annualized portfolio standard deviation improves to 8.92% compared to 9.75–10.43% for DCC-type models.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107505"},"PeriodicalIF":3.6,"publicationDate":"2025-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144597025","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
How much do boards learn about CEO ability in crises? Evidence from CEO turnover 董事会对CEO在危机中的能力了解多少？来自CEO离职的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-01 DOI: 10.1016/j.jbankfin.2025.107513
Peter Schäfer
{"title":"How much do boards learn about CEO ability in crises? Evidence from CEO turnover","authors":"Peter Schäfer","doi":"10.1016/j.jbankfin.2025.107513","DOIUrl":"10.1016/j.jbankfin.2025.107513","url":null,"abstract":"<div><div>I present evidence from CEO turnover decisions suggesting that boards update their beliefs about CEO ability more in industry crises than in booms. Consistent with predictions from an extended learning model that allows for increased productivity of CEO ability in crises, I find that the turnover-performance relation is weaker the more often the board has observed the CEO in past crises, and crisis performance reduces future dismissal risks more than boom performance. These effects persist after controlling for CEO entrenchment and firm effects, and they are stronger for more severe and recent crises. Employing a proxy of CEO ability, I also find that the dismissal risk of weak-ability CEOs is highest in crises. The results help refine our models of how boards learn about CEO ability and, in particular, help explain the turnover puzzle, i.e., why boards are more likely to dismiss CEOs in industry downturns: rather than misattributing poor industry conditions to CEOs, boards view performance in crises as a more informative signal of CEO ability than performance in booms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107513"},"PeriodicalIF":3.6,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144703899","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
Tariff uncertainty and the cost of debt: Evidence from United States–China permanent normal trade relations 关税不确定性与债务成本：来自美中永久正常贸易关系的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-07-01 DOI: 10.1016/j.jbankfin.2025.107515
Huasheng Gao , Yuxi Wang
{"title":"Tariff uncertainty and the cost of debt: Evidence from United States–China permanent normal trade relations","authors":"Huasheng Gao ,&nbsp;Yuxi Wang","doi":"10.1016/j.jbankfin.2025.107515","DOIUrl":"10.1016/j.jbankfin.2025.107515","url":null,"abstract":"<div><div>We examine the causal effect of tariff uncertainty on firms’ cost of debt. Our tests exploit a unique trade policy that reduces tariff uncertainty on Chinese imports without affecting the actual tariff rate, United States (U.S.)–China permanent normal trade relations (PNTR). We reveal a significant drop in the loan spreads for firms affected by PNTR relative to other firms. We further demonstrate that such effects occur through the channel of increasing firms’ performance predictability. Overall, by examining a clean measure of uncertainty from the tariff source, we provide evidence that reducing uncertainty has a causal effect on reducing the cost of debt.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107515"},"PeriodicalIF":3.6,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144572579","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
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
Motivated beliefs about stock returns 对股票收益的动机信念
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2025-06-24 DOI: 10.1016/j.jbankfin.2025.107510
Carlos Cueva , Iñigo Iturbe-Ormaetxe
{"title":"Motivated beliefs about stock returns","authors":"Carlos Cueva ,&nbsp;Iñigo Iturbe-Ormaetxe","doi":"10.1016/j.jbankfin.2025.107510","DOIUrl":"10.1016/j.jbankfin.2025.107510","url":null,"abstract":"<div><div>Systematic biases in return expectations can distort stock prices and lead to inefficient capital allocation. In this paper, we report experimental evidence that buying a stock induces optimistically biased expectations when its price drops below the purchase price. We find this effect across two experimental settings, a controlled laboratory experiment and a six-week-long online experiment involving real equities traded in the stock market in real time. Our results are consistent with the idea that investors form “motivated beliefs” about stocks returns. In addition, motivated beliefs explain a substantial part of the reluctance to sell losing stocks, as in the well-known disposition effect.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107510"},"PeriodicalIF":3.8,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144722132","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
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