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Analyst recommendations and mispricing across the globe 全球分析师的建议和错误定价
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-27 DOI: 10.1016/j.jbankfin.2024.107296
Vitor Azevedo , Sebastian Müller
{"title":"Analyst recommendations and mispricing across the globe","authors":"Vitor Azevedo ,&nbsp;Sebastian Müller","doi":"10.1016/j.jbankfin.2024.107296","DOIUrl":"10.1016/j.jbankfin.2024.107296","url":null,"abstract":"<div><p>We examine the value of analysts’ recommendations using a dataset of 45 countries, 3.8 million firm-month observations, and 222 return anomalies from 1994 to 2019. Unlike U.S.-based evidence, recommendations lead to subsequent highly significant abnormal returns in international markets. Furthermore, analysts do not seem to strengthen mispricing in international markets, as they give more favorable recommendations to (anomaly-ranked) underpriced stocks, and inconsistencies between recommendations and composite anomaly ranks lead to lower, not higher, abnormal returns. Recommendations are more valuable in less developed and less individualistic markets. Our results suggest that analysts’ recommendations provide more value to investors than previously thought.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107296"},"PeriodicalIF":3.6,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002103/pdfft?md5=1658a16a70eba01a53eb3bf529fc40a4&pid=1-s2.0-S0378426624002103-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142270355","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
Treasury buybacks, the Federal Reserve’s portfolio, and changes in local supply 国债回购、美联储的投资组合以及本地供应的变化
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-23 DOI: 10.1016/j.jbankfin.2024.107286
Michael F. Connolly , Ethan Struby
{"title":"Treasury buybacks, the Federal Reserve’s portfolio, and changes in local supply","authors":"Michael F. Connolly ,&nbsp;Ethan Struby","doi":"10.1016/j.jbankfin.2024.107286","DOIUrl":"10.1016/j.jbankfin.2024.107286","url":null,"abstract":"<div><p>We document spillover effects of the 2000–2002 Treasury Buyback program on Treasury returns and the composition of the Federal Reserve’s System Open Market Account (SOMA) portfolio. The reduction in bond supply due to the buybacks contributed an average of 95 basis points to the yields of bonds bought back and bonds of similar maturity over the course of the program. Each $10 billion of purchases corresponded with an average yield increase of 7.8 basis points. At a higher frequency, prices of purchased and near substitute bonds increased on settlement dates. Changes to the SOMA portfolio were smaller for securities exposed to the buybacks and tended to occur outside of auction weeks, consistent with the Federal Reserve attempting to avoid exacerbating Treasury supply shortages. We relate our findings to the theoretical literature on asset supply in preferred habitats models of the term structure. Our results suggest that the proposed reintroduction of the Treasury buyback program will have limited effects due to its size and proposed composition.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107286"},"PeriodicalIF":3.6,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142089392","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
Voting for insider trading regulation. An experimental study of informed and uninformed traders’ preferences 投票支持内幕交易监管。对知情和不知情交易者偏好的实验研究
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-22 DOI: 10.1016/j.jbankfin.2024.107295
Dominik Schmidt , Thomas Stöckl , Stefan Palan
{"title":"Voting for insider trading regulation. An experimental study of informed and uninformed traders’ preferences","authors":"Dominik Schmidt ,&nbsp;Thomas Stöckl ,&nbsp;Stefan Palan","doi":"10.1016/j.jbankfin.2024.107295","DOIUrl":"10.1016/j.jbankfin.2024.107295","url":null,"abstract":"<div><p>Capital markets often regulate insider trading, but whether such regulation aligns with traders’ preferences is an open question. This study examined traders’ regulation preferences conditional on their prospects of becoming informed. Of 64 referenda, traders decided 41 (64%) against regulation. Moreover, traders’ prospects of becoming informed significantly impacted the outcomes of the referenda. In markets in which a group of traders has no chance of receiving inside information, 47% of the referenda are decided against regulation. When all traders could get such information, 81% are. Individual votes reveal that traders who know they will remain uninformed support regulation in 69.27% of the cases, while informed traders do so only 8.33% of the time. Traders who may or may not become informed support regulation 33.33% of the time.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"169 ","pages":"Article 107295"},"PeriodicalIF":3.6,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002097/pdfft?md5=908e3eb33f21387fbe887fd9f9d2a6ff&pid=1-s2.0-S0378426624002097-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142158089","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
Decomposing momentum: The forgotten component 分解动力：被遗忘的部分
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-21 DOI: 10.1016/j.jbankfin.2024.107292
Pascal Büsing , Hannes Mohrschladt , Susanne Siedhoff
{"title":"Decomposing momentum: The forgotten component","authors":"Pascal Büsing ,&nbsp;Hannes Mohrschladt ,&nbsp;Susanne Siedhoff","doi":"10.1016/j.jbankfin.2024.107292","DOIUrl":"10.1016/j.jbankfin.2024.107292","url":null,"abstract":"<div><p>We split up the standard momentum return over months <span><math><mrow><mi>t</mi><mo>−</mo><mn>12</mn></mrow></math></span> to <span><math><mrow><mi>t</mi><mo>−</mo><mn>2</mn></mrow></math></span> at the highest stock price within this formation period. Of the overall momentum profits in month <span><math><mi>t</mi></math></span>, 84% can be attributed to the return prior to this peak price although research has exclusively focused on the post-peak return so far. The return predictability of the forgotten component is consistent with investor underreaction as underlying mechanism. Contrary to standard momentum strategies, the corresponding long-short returns are positively skewed, avoid momentum crashes, show no market state dependence, and yield consistent return premiums in both the US and international stock markets.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107292"},"PeriodicalIF":3.6,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142129570","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
Pure risk, agency conflict, and hedging 纯粹风险、代理冲突和套期保值
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-17 DOI: 10.1016/j.jbankfin.2024.107294
Lu Chen , Bingqing Li , Wenyuan Zheng
{"title":"Pure risk, agency conflict, and hedging","authors":"Lu Chen ,&nbsp;Bingqing Li ,&nbsp;Wenyuan Zheng","doi":"10.1016/j.jbankfin.2024.107294","DOIUrl":"10.1016/j.jbankfin.2024.107294","url":null,"abstract":"<div><p>This study develops a theoretical model to analyze the asset substitution problem over insurance decisions. We find that agency conflict is related to a firm’s risk level and capital structure. In particular, at the optimal leverage, agency conflict occurs only when the risk level is relatively high, which explains why insurance covenants are typically for significant pure risks. Moreover, when the risk level is specified, agency conflict over insurance decisions occurs within a specific leverage range. This is consistent with the findings of some research on the asset substitution problem over speculative risk choices. In addition, we consider premium loadings and conclude that full hedging is not a firm’s optimal risk management strategy, contributing to the literature on optimal hedging decisions with transaction frictions. Our framework with premium loadings can also explain many insurance phenomena, such as risk retention for small losses and subsidies for catastrophe insurance.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107294"},"PeriodicalIF":3.6,"publicationDate":"2024-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142021239","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
Do banks engage in earnings management? The role of dividends and institutional factors 银行是否进行收益管理？股利和制度因素的作用
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-17 DOI: 10.1016/j.jbankfin.2024.107287
Mamiza Haq , Steven Ongena , Juying Pu , Eric K.M. Tan
{"title":"Do banks engage in earnings management? The role of dividends and institutional factors","authors":"Mamiza Haq ,&nbsp;Steven Ongena ,&nbsp;Juying Pu ,&nbsp;Eric K.M. Tan","doi":"10.1016/j.jbankfin.2024.107287","DOIUrl":"10.1016/j.jbankfin.2024.107287","url":null,"abstract":"<div><p>We investigate the impact of dividend policy on earnings quality and opportunistic earnings management for individual banks across 45 developed and developing countries between 1996 and 2019. Our estimates show that high dividend payments reduce earnings management, hence mitigate agency problems. This mitigation is especially prevalent among well-capitalised and non-listed banks. Greater investor protection and government regulation appear to strengthen the negative association between dividend policy and earnings management. Our results hold robustly across many different specifications.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107287"},"PeriodicalIF":3.6,"publicationDate":"2024-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002012/pdfft?md5=bc018284e30c2b402ce883605780b94f&pid=1-s2.0-S0378426624002012-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142049437","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
Behavioral risk profiling: Measuring loss aversion of individual investors 行为风险分析：衡量个人投资者的损失规避能力
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-16 DOI: 10.1016/j.jbankfin.2024.107293
Dennie van Dolder , Jurgen Vandenbroucke
{"title":"Behavioral risk profiling: Measuring loss aversion of individual investors","authors":"Dennie van Dolder ,&nbsp;Jurgen Vandenbroucke","doi":"10.1016/j.jbankfin.2024.107293","DOIUrl":"10.1016/j.jbankfin.2024.107293","url":null,"abstract":"<div><p>Loss aversion has been shown to be a key driver of people's investment decisions. Encouraged by regulators, financial institutions are seeking ways to integrate this behavioral factor into client risk classifications. A critical obstacle is the lack of a valid measurement method for loss aversion that can be straightforwardly incorporated into existing processes. This paper reports on two large-scale implementations of such a method within the risk-profiling application of an established financial institution. We elicit loss aversion for 1,040 employees and 3,740 clients, observing distributions that align with existing findings. Importantly, our results demonstrate that loss aversion is largely independent of the risk-return preferences commonly used for investor classification. Furthermore, the correlations we observe between these two preferences and individuals’ background characteristics align with previous research: loss aversion is strongly correlated with education—higher educated individuals exhibit greater loss aversion—whereas risk aversion is related to gender, age, and financial status—women, older individuals, and those less financially secure are more risk averse. These findings support the conjecture that risk and loss aversion are complementary in capturing investor intent.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107293"},"PeriodicalIF":3.6,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002073/pdfft?md5=3fb7ca45cb8de53f22bc85ace7ba5f4a&pid=1-s2.0-S0378426624002073-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142049436","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 timing of stock repurchases: Do well-connected CEOs help or harm? 股票回购的时机：人脉广的首席执行官是利还是弊？
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-12 DOI: 10.1016/j.jbankfin.2024.107288
Amedeo De Cesari , Nicoletta Marinelli , Rohit Sonika
{"title":"The timing of stock repurchases: Do well-connected CEOs help or harm?","authors":"Amedeo De Cesari ,&nbsp;Nicoletta Marinelli ,&nbsp;Rohit Sonika","doi":"10.1016/j.jbankfin.2024.107288","DOIUrl":"10.1016/j.jbankfin.2024.107288","url":null,"abstract":"<div><p>Using a sample of daily repurchase transactions, we find that CEOs with extensive professional networks execute buybacks at higher prices relative to their less-connected peers. This finding survives a large battery of robustness tests and is unlikely to be the product of endogeneity biases. Monitoring by institutional investors, blockholders, and independent directors, as well as low levels of board busyness mitigate the detrimental effect of a well-connected CEO on repurchase timing. Moreover, better-connected CEOs are more associated with insider net sales around repurchase transactions. Overall, our evidence is consistent with CEO-shareholder agency conflict explanations and CEO power mechanisms.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107288"},"PeriodicalIF":3.6,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624002024/pdfft?md5=ee5b25470eead49e4cc40b756091b5cf&pid=1-s2.0-S0378426624002024-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142099061","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 gender gap in the first deal: Equity split among founding teams 第一笔交易中的性别差距：创始团队的股权分配
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-10 DOI: 10.1016/j.jbankfin.2024.107272
Hidenori Takahashi , Yuji Honjo , Masatoshi Kato
{"title":"The gender gap in the first deal: Equity split among founding teams","authors":"Hidenori Takahashi ,&nbsp;Yuji Honjo ,&nbsp;Masatoshi Kato","doi":"10.1016/j.jbankfin.2024.107272","DOIUrl":"10.1016/j.jbankfin.2024.107272","url":null,"abstract":"<div><p>We investigate the gender gap in equity splits among members of founding teams using proprietary survey data on Japanese startups. The results reveal that, on average, female founder chief executive officers (CEOs) own 12 percentage points less equity than male founder CEOs. The gender equity gap is more pronounced in founding teams in which the founder CEO is a woman and the other founding members are men. However, the results vary depending on the founding teams’ characteristics. Notably, the gender equity gap is observed only in teams with individuals belonging to older generations and in teams from regions (prefectures) with great gender inequality. The findings indicate that gender norms influence the gender equity gap.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107272"},"PeriodicalIF":3.6,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624001869/pdfft?md5=2106f2ff11423be507ad584c8af21e84&pid=1-s2.0-S0378426624001869-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141963932","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
Religiosity and financial distress of the young 宗教信仰与年轻人的财务困境
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jbankfin.2024.107276
Lei Lei , Weijie Lu , Geng Niu , Yang Zhou
{"title":"Religiosity and financial distress of the young","authors":"Lei Lei ,&nbsp;Weijie Lu ,&nbsp;Geng Niu ,&nbsp;Yang Zhou","doi":"10.1016/j.jbankfin.2024.107276","DOIUrl":"10.1016/j.jbankfin.2024.107276","url":null,"abstract":"<div><p>Financial distress is a prevalent issue among the youth. An influential stream of literature has argued that religion wields significant influence over human life. Using a representative sample of U.S. young people, we explore whether religiosity matters for financial distress. To deal with endogeneity issue, we exploit arguably exogeneous within-school variation in adolescents’ peers. By instrumenting an adolescent's own religiosity with the religiosity of their school peer group, we find that higher levels of religiosity causally and significantly reduce the likelihood of financial distress at young adulthood. Our results withstand a variety of robustness checks. To shed light on the mechanisms, we explore the impact of religiosity on an individual's sociability and various psychological attributes. We find that more religious individuals hold higher levels of self-control, a crucial attribute that aids in averting financial distress. Our study contributes to the literature by providing rigorous causal evidence that identifies religiosity as a meaningful predictor of reduced financial distress among young adults.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107276"},"PeriodicalIF":3.6,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141978216","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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