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Predicting financial stability with TopicGPT: Insights from corporate and central bank communications 用主题gpt预测金融稳定：来自企业和央行沟通的见解
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-02-01 Epub Date: 2025-12-02 DOI: 10.1016/j.jbankfin.2025.107598
Christian Fieberg , Matthies Hesse , Gerrit Liedtke , Adam Zaremba
{"title":"Predicting financial stability with TopicGPT: Insights from corporate and central bank communications","authors":"Christian Fieberg ,&nbsp;Matthies Hesse ,&nbsp;Gerrit Liedtke ,&nbsp;Adam Zaremba","doi":"10.1016/j.jbankfin.2025.107598","DOIUrl":"10.1016/j.jbankfin.2025.107598","url":null,"abstract":"<div><div>Can generative artificial intelligence (GenAI) help us predict financial stability? To address this question, we employ TopicGPT, a prompt-based framework for topic modeling powered by large language models. By analyzing over 238,000 corporate earnings calls and 4300 Federal Reserve speeches over the period from 2002 to 2023, we combine microeconomic and macroeconomic perspectives to forecast key measures of financial stability. TopicGPT’s ability to generate interpretable and tailored topics improves predictions for systemic risk measures, such as the National Financial Conditions Index and a capital shortfall, outperforming traditional models, particularly for long-term horizons. The two data sources complement each other: earnings calls provide dynamic, firm-specific insights critical for short-term forecasts, while Fed speeches highlight systemic risks, offering a long-term perspective. Together, they identify critical themes – such as economic conditions, debt management, and the housing market – and enable real-time risk assessment.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107598"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145712143","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
New tests of the theory of storage and the theory of normal backwardation: Time and frequency dimensions 存储理论和正常现货溢价理论的新检验：时间和频率维度
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-02-01 Epub Date: 2025-12-23 DOI: 10.1016/j.jbankfin.2025.107611
Wenbin Cao , Xiaoman Duan , Scott Linn , Pierre Six
{"title":"New tests of the theory of storage and the theory of normal backwardation: Time and frequency dimensions","authors":"Wenbin Cao ,&nbsp;Xiaoman Duan ,&nbsp;Scott Linn ,&nbsp;Pierre Six","doi":"10.1016/j.jbankfin.2025.107611","DOIUrl":"10.1016/j.jbankfin.2025.107611","url":null,"abstract":"<div><div>We expand the frequency domain asset pricing literature, traditionally focused on equities and bonds, to include the oil market. Our analysis extends to both the frequency and calendar time domains, offering new tests for the theories of storage and normal backwardation (hedging pressure). Our study highlights that the main relationships of both theories operate continuously in time at intermediate frequencies. Our analysis in the time–frequency domain enables us to refine extant conclusions regarding financialization in the oil market.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107611"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885187","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
Rules of thumb and retirement accounts 经验法则和退休账户
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.2025.107619
Vanya Horneff , David Love , Raimond Maurer
{"title":"Rules of thumb and retirement accounts","authors":"Vanya Horneff ,&nbsp;David Love ,&nbsp;Raimond Maurer","doi":"10.1016/j.jbankfin.2025.107619","DOIUrl":"10.1016/j.jbankfin.2025.107619","url":null,"abstract":"<div><div>We examine the welfare costs of using common rules of thumb for saving, investing, 401k contributions, and withdrawals in a realistic environment with taxes, Social Security, 401k plan details, and uncertainty in income, lifespan, and returns. We assess common heuristics such as allocating 100 minus age to stocks, contributing 6–10% of income to a 401k, and withdrawing only the required minimum distribution (RMD) in retirement. Target-date rules lead to moderate welfare losses, with one-time compensating variations ranging from $59–$2514 for 401k allocation and $66–$873 for other savings. Contribution rules cause smaller losses ($22–$772), reflecting the importance of the 401k matching incentives. Withdrawing only the RMD leads to substantial welfare losses, ranging between $1321–$9919 from the perspective of a 66-year-old. But a hybrid rule—taking the maximum of a fixed percentage and the RMD—generates welfare losses about half as large as those associated with the RMD rule. We also compare these rules to more clearly suboptimal behaviors, such as avoiding the stock market, delaying saving, or contributing below the matching threshold. In these cases, rules of thumb look far more attractive, often avoiding substantial welfare losses. Overall, we find mixed support for the effectiveness of rules of thumb. While the welfare losses associated with such rules are modest, there may be substantial benefits to more detailed financial planning.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107619"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885274","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 clan-based investment hypothesis in household stock investment 家庭股票投资中的宗族投资假说
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-02-01 Epub Date: 2025-12-28 DOI: 10.1016/j.jbankfin.2025.107620
Kebin Deng , Zhong Ding , Xu Liu
{"title":"The clan-based investment hypothesis in household stock investment","authors":"Kebin Deng ,&nbsp;Zhong Ding ,&nbsp;Xu Liu","doi":"10.1016/j.jbankfin.2025.107620","DOIUrl":"10.1016/j.jbankfin.2025.107620","url":null,"abstract":"<div><div>This paper proposes a clan-based investment hypothesis regarding household stock investment, specifically emphasizing the role of Confucian clan culture in deterring both the probability of stock investment participation and the stock investment ratio in China. Our findings reveal that households strongly influenced by Confucian clan culture are 17.6 % less likely to participate in stock investment and exhibit an 11.8 % lower ratio of stock investment to bank deposits, compared to other households. Moreover, we document that households dominated by Confucian clan culture are more likely to receive informal financial support for real estate investment, further reducing their participation in the stock market. These results suggest that clan-based investment opportunities play a significant role in discouraging household participation in stock investment.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107620"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145927030","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
Decentralized Finance risk transfer and smart contract-based insurance 去中心化金融风险转移和基于智能合约的保险
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-02-01 Epub Date: 2025-12-08 DOI: 10.1016/j.jbankfin.2025.107606
Felix Bekemeier , Fabian Schär , Hato Schmeiser
{"title":"Decentralized Finance risk transfer and smart contract-based insurance","authors":"Felix Bekemeier ,&nbsp;Fabian Schär ,&nbsp;Hato Schmeiser","doi":"10.1016/j.jbankfin.2025.107606","DOIUrl":"10.1016/j.jbankfin.2025.107606","url":null,"abstract":"<div><div>This paper presents a model in which risk-averse individuals can purchase insurance via traditional indemnity contracts or Decentralized Finance (DeFi) smart contract-based instruments. The model incorporates key features of DeFi insurance, including parametric payouts, basis risk arising from imperfect loss verification and pooled collateralization involving the risk of liquidity shortfalls. We characterize optimal insurance choices as a function of pricing, payout correlation and risk preferences. Numerical results show that DeFi insurance can complement or replace traditional coverage, improving welfare when basis and default risks are moderate or pricing advantages are substantial. The analysis reveals how DeFi-specific frictions shape insurance demand and provides insight into how DeFi instruments may shift market structure and expand the set of attainable risk transfer outcomes.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"183 ","pages":"Article 107606"},"PeriodicalIF":3.8,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885186","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
Crowded spaces and anomalies 拥挤的空间和异常
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-01-01 Epub Date: 2025-10-31 DOI: 10.1016/j.jbankfin.2025.107579
Ludwig Chincarini , Renato Lazo-Paz , Fabio Moneta
{"title":"Crowded spaces and anomalies","authors":"Ludwig Chincarini ,&nbsp;Renato Lazo-Paz ,&nbsp;Fabio Moneta","doi":"10.1016/j.jbankfin.2025.107579","DOIUrl":"10.1016/j.jbankfin.2025.107579","url":null,"abstract":"<div><div>This paper investigates the relation between crowded trades, those in which many investors hold the same stocks possibly exhausting their liquidity provision, and future stock returns on a set of well-known stock market anomalies. We find that anomaly risk-adjusted returns are primarily generated by the most (least) crowded stocks for the long-leg (short-leg) portfolio. Moreover, we find that our results remain significant after publication dates. We hypothesize that crowded equity positions in anomaly stocks increase institutional investors’ exposure to crash risk. Our findings are consistent with this hypothesis and suggest that crowding adds a new consideration to the limits of arbitrage.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"182 ","pages":"Article 107579"},"PeriodicalIF":3.8,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145520295","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
Folklore narratives and IPO outcomes 民间传说叙述与IPO结果
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-01-01 Epub Date: 2025-10-17 DOI: 10.1016/j.jbankfin.2025.107578
Huu Nhan Duong , Abhinav Goyal , S. Ghon Rhee
{"title":"Folklore narratives and IPO outcomes","authors":"Huu Nhan Duong ,&nbsp;Abhinav Goyal ,&nbsp;S. Ghon Rhee","doi":"10.1016/j.jbankfin.2025.107578","DOIUrl":"10.1016/j.jbankfin.2025.107578","url":null,"abstract":"<div><div>Our primary contribution to the finance literature is the introduction of folklore narratives as a major factor in influencing corporate outcomes. Using the initial public offering (IPO) underpricing as the main focus, we demonstrate that folklore narratives depicting lower tolerance toward antisocial behavior are associated with lower IPO underpricing. The relation between folklore narratives and IPO pricing is independent of indicators of trust, religion, culture, societal preferences, or institutional democracy. This relation is weaker in countries with a more transparent information environment and following reforms that improve disclosure and corporate governance. Folklore narratives on punishment for antisocial behavior are also related to enhanced information disclosure, lower agency problems, better long-term performance for IPO firms, higher proceeds raised and free float, and overall IPO activity in the market. Collectively, we show that informal institutions, such as folklore narratives, exert a strong influence on IPO outcomes globally.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"182 ","pages":"Article 107578"},"PeriodicalIF":3.8,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145520296","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
Investor disagreement and state-dependent mispricing: New evidence on the analyst dispersion anomaly 投资者分歧和国家依赖的错误定价：关于分析师分散异常的新证据
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-01-01 Epub Date: 2025-10-16 DOI: 10.1016/j.jbankfin.2025.107577
Zhiwei Xu, Yinan Yang, Teng Zhang
{"title":"Investor disagreement and state-dependent mispricing: New evidence on the analyst dispersion anomaly","authors":"Zhiwei Xu,&nbsp;Yinan Yang,&nbsp;Teng Zhang","doi":"10.1016/j.jbankfin.2025.107577","DOIUrl":"10.1016/j.jbankfin.2025.107577","url":null,"abstract":"<div><div>This study provides strong evidence that the analyst dispersion anomaly (i.e., higher analyst forecast dispersion predicting lower future returns) exhibits a state-dependent pattern: the negative dispersion-return relation is evident only among stocks with high investor optimism but attenuates or even reverses among stocks with high investor pessimism. Reduced investor risk aversion and binding short-sale constraints amplify the anomaly under the condition of high investor optimism. These findings together align with Atmaz and Basak’s (2018) theory that disagreement combined with expectation biases causes mispricing. Alternative mechanisms, including managerial strategic disclosure, intertemporal hedging demand, credit risk, and analyst self-censorship,fail to subsume this conditional pattern. We also show that several other well-known measures of disagreement exhibit a similar state-dependent property. Overall, this study provides novel insights into the mechanisms driving the dispersion anomaly.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"182 ","pages":"Article 107577"},"PeriodicalIF":3.8,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145419551","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
Stakeholder-centric corporate misconduct and financing policies: A precautionary tale 以利益相关者为中心的企业不当行为和融资政策：一个预防性的故事
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-01-01 Epub Date: 2025-10-21 DOI: 10.1016/j.jbankfin.2025.107582
Najah Attig , Sadok El Ghoul , Ashrafee Hossain
{"title":"Stakeholder-centric corporate misconduct and financing policies: A precautionary tale","authors":"Najah Attig ,&nbsp;Sadok El Ghoul ,&nbsp;Ashrafee Hossain","doi":"10.1016/j.jbankfin.2025.107582","DOIUrl":"10.1016/j.jbankfin.2025.107582","url":null,"abstract":"<div><div>We investigate how stakeholder-centric corporate misconduct (CM) influences firms’ financing policies. CM is associated with higher cash holdings and lower dividend payouts and debt financing. These effects are more pronounced in firms with stronger governance. We further show that higher cash holdings in CM firms are associated with greater firm value and a lower implied cost of capital. Firms that replace their CEOs following CM adopt more conservative financing policies. Taken together, our evidence supports the precautionary motive for cash holdings, indicating that such reserves are unlikely to result from agency conflicts or increased managerial discretion in CM firms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"182 ","pages":"Article 107582"},"PeriodicalIF":3.8,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145468183","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
Active fund management when ESG matters ESG重要时积极的基金管理
IF 3.8 2区 经济学
Journal of Banking & Finance Pub Date : 2026-01-01 Epub Date: 2025-11-20 DOI: 10.1016/j.jbankfin.2025.107597
Doron Avramov , Si Cheng , Andrea Tarelli
{"title":"Active fund management when ESG matters","authors":"Doron Avramov ,&nbsp;Si Cheng ,&nbsp;Andrea Tarelli","doi":"10.1016/j.jbankfin.2025.107597","DOIUrl":"10.1016/j.jbankfin.2025.107597","url":null,"abstract":"<div><div>This paper develops and tests an equilibrium model of active fund management with ESG considerations. Heterogeneous sustainability preferences lead fund managers to intensify information acquisition on assets across the ESG spectrum, broadening the scope of active management. This information channel enhances price informativeness, lowers discount rates, and increases portfolio deviation from benchmarks. The model predicts a negative and concave ESG-expected return relation, stronger for green assets and weaker for brown assets. Using data on U.S. mutual funds and stocks from 2007–2021, we find supporting evidence based on price informativeness and the implied cost of equity capital.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"182 ","pages":"Article 107597"},"PeriodicalIF":3.8,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145623517","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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