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The role of CDS spreads in explaining bond recovery rates CDS息差在解释债券回收率中的作用
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-03-03 DOI: 10.1016/j.jbankfin.2025.107414
Matteo Barbagli , Pascal François , Geneviève Gauthier , Frédéric Vrins
{"title":"The role of CDS spreads in explaining bond recovery rates","authors":"Matteo Barbagli ,&nbsp;Pascal François ,&nbsp;Geneviève Gauthier ,&nbsp;Frédéric Vrins","doi":"10.1016/j.jbankfin.2025.107414","DOIUrl":"10.1016/j.jbankfin.2025.107414","url":null,"abstract":"<div><div>We introduce two novel indices built from CDS market data capturing the level and uncertainty information embedded in credit spreads aggregated by industry, and study their role in predicting bonds recovery rates. Analyzing 613 defaulted U.S. corporate bond issues from 2006 to 2019 and using a beta regression model, we find the cross-sectional mean and approximate entropy of CDS spreads aggregated at the sector level to be important predictors of the recovery rates distributions. In the classical beta regression model, both regressors are statistically significant and enhance the pseudo-R<sup>2</sup> by up to 4%. Notably, a forward model selection procedure includes the sector-level regressor before well-known variables such as the bonds’ coupon rate or the American default rate. In addition, our sector-uncertainty regressor is the only significant uncertainty variable. These findings offer valuable insights for improving credit risk assessment methodologies and identifying key risk indicators of recovery rates before running prediction models.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"174 ","pages":"Article 107414"},"PeriodicalIF":3.6,"publicationDate":"2025-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579559","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
Dealer leverage and exchange rates: Heterogeneity across intermediaries 交易商杠杆和汇率：跨中介的异质性
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-25 DOI: 10.1016/j.jbankfin.2025.107400
Ricardo Correa, Laurie DeMarco
{"title":"Dealer leverage and exchange rates: Heterogeneity across intermediaries","authors":"Ricardo Correa,&nbsp;Laurie DeMarco","doi":"10.1016/j.jbankfin.2025.107400","DOIUrl":"10.1016/j.jbankfin.2025.107400","url":null,"abstract":"<div><div>We find that the leverage of primary dealers has predictive power in forecasting exchange rates, but that it varies by a novel type of heterogeneity, the dealer’s headquarter jurisdiction, and over time. The leverage of foreign-headquartered dealers in the U.S. drives the predictive power for exchange rates, while it is insignificant for U.S.-headquartered dealers. We propose this heterogeneity can be explained by the relative balance sheet capacity of foreign dealers compared to domestic dealers and how that capacity changes over time with regulation. Furthermore, we document that currency market positions are stronger than cross-border lending as the channel through which leverage affects exchange rates.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"174 ","pages":"Article 107400"},"PeriodicalIF":3.6,"publicationDate":"2025-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143687447","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 do banks respond to misconduct costs? 银行如何应对不当行为的成本？
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-24 DOI: 10.1016/j.jbankfin.2025.107413
Belinda Tracey , Rhiannon Sowerbutts
{"title":"How do banks respond to misconduct costs?","authors":"Belinda Tracey ,&nbsp;Rhiannon Sowerbutts","doi":"10.1016/j.jbankfin.2025.107413","DOIUrl":"10.1016/j.jbankfin.2025.107413","url":null,"abstract":"<div><div>Over the past 15 years, banks around the world have been confronted with substantial costs related to misconduct. In this paper, we examine the impact of provisions for misconduct costs on the behavior of UK banks. We first document that misconduct provisions have a significant and negative effect on capital ratios. Next, we show that banks whose capital is reduced by misconduct provisions decrease non-lending activities but increase lending. Lending growth is driven by profitable higher loan-to-value mortgages, which typically incur a lower capital risk-weighting compared to non-lending activities. These results suggest that when faced with a capital shock due to misconduct provisions, banks restore their capital ratios by shifting their balance sheet towards activities that optimize the ratio of profitability to risk-weighted assets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107413"},"PeriodicalIF":3.6,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144489493","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
Returns from liquidity provision in cryptocurrency markets 来自加密货币市场流动性供应的回报
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-22 DOI: 10.1016/j.jbankfin.2025.107411
Hisham Farag , Di Luo , Larisa Yarovaya , Damian Zieba
{"title":"Returns from liquidity provision in cryptocurrency markets","authors":"Hisham Farag ,&nbsp;Di Luo ,&nbsp;Larisa Yarovaya ,&nbsp;Damian Zieba","doi":"10.1016/j.jbankfin.2025.107411","DOIUrl":"10.1016/j.jbankfin.2025.107411","url":null,"abstract":"<div><div>We examine the liquidity provision premium in cryptocurrency markets using the returns from the short reversal strategy. We show that returns from liquidity provision can be predicted using the volatility index, realized variance, risk aversion, crash risk, tail risk, and innovations of Tether liquidity. We also find that an increase in the liquidity provision premium is associated with a decline in liquidity, trading volume, and transaction count, as well as more withdrawals, higher fees, and greater impermanent loss on Uniswap. This suggests potential competition between centralized and decentralized exchanges. Further, the liquidity provision premium of stock markets in China and Japan positively predicts the premium of cryptocurrency markets (effect of a common shock), meanwhile that of stock markets in the US and Canada negatively predicts the premium of cryptocurrency markets (substitution effect).</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"175 ","pages":"Article 107411"},"PeriodicalIF":3.6,"publicationDate":"2025-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143769326","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
When expectations of implicit government guarantees diminished, do retail stock investors run away? 当对政府隐性担保的预期减弱时，散户投资者会逃离吗？
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-22 DOI: 10.1016/j.jbankfin.2025.107418
Lin Tang , Zhi Zhuo , Hong Zou
{"title":"When expectations of implicit government guarantees diminished, do retail stock investors run away?","authors":"Lin Tang ,&nbsp;Zhi Zhuo ,&nbsp;Hong Zou","doi":"10.1016/j.jbankfin.2025.107418","DOIUrl":"10.1016/j.jbankfin.2025.107418","url":null,"abstract":"<div><div>We investigate the impact of implicit government guarantees (IGGs) on the trading behavior of retail stock investors for non-default firms, using China’s first corporate bond default in March 2014 as a negative shock to public expectations of IGGs. Our difference-in-differences analysis shows that, following the Chaori default shock, retail investors withdraw from high-default-risk firms that have not yet defaulted. This outcome is not attributed to industry, geographical or supply-chain contagions, declining stock prices, worsened financial metrics, or merely a seasonal effect. The effect is more pronounced for firms with preexisting larger retail ownership breadth or higher stock trading turnovers, for non-state-owned enterprises, and for firms with less sustainable earnings. When the initial default shows signs of a bailout, retail investors’ withdrawal partially reverses. Overall, the diminishment of IGGs seems to have reduced the moral hazard of retail stock investors and encouraged them to focus more on firms’ fundamentals, potentially enhancing the capital allocation efficiency in China’s stock market in the long run.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"175 ","pages":"Article 107418"},"PeriodicalIF":3.6,"publicationDate":"2025-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143791732","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
Fear propagation and return dynamics 恐惧传播和回归动态
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-22 DOI: 10.1016/j.jbankfin.2025.107410
Yulong Sun , Kai Wang , Zhiping Zhou
{"title":"Fear propagation and return dynamics","authors":"Yulong Sun ,&nbsp;Kai Wang ,&nbsp;Zhiping Zhou","doi":"10.1016/j.jbankfin.2025.107410","DOIUrl":"10.1016/j.jbankfin.2025.107410","url":null,"abstract":"<div><div>This study explores the intertemporal relationship between the gold-to-platinum price ratio (logGP) across economic conditions and international equity risk premiums. We find that logGP provides distinct predictive signals based on economic states, with logGP during U.S. contractions works as a strong and robust predictor of global stock market returns both in-sample and out-of-sample. This predictability stems not from U.S. market spillovers but rather reflects investors’ tail risk concerns and forecasts of economic activity. Our results indicate that U.S. recessions act as wake-up calls for international investors. Concerns about a U.S. recession propagating to other economies prompts investors to reassess local risks, thereby influencing local stock market dynamics.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107410"},"PeriodicalIF":3.6,"publicationDate":"2025-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488727","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
International information flow and market quality 国际信息流和市场质量
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-22 DOI: 10.1016/j.jbankfin.2025.107420
Jiang Zhang
{"title":"International information flow and market quality","authors":"Jiang Zhang","doi":"10.1016/j.jbankfin.2025.107420","DOIUrl":"10.1016/j.jbankfin.2025.107420","url":null,"abstract":"<div><div>Does the informational interdependence among countries affect market quality? Guided by the theoretical literature, this paper examines disruptions to international information flow as a source of financial market frictions. Using nonoverlapping holidays as a novel identification method, I find that disruptions to foreign information inflow deteriorate domestic market liquidity and fairness. I show that market quality worsens through both the informational sensitivity and the abnormal trading channels. Additional analyses indicate that stocks with lower liquidity and higher volatility are prone to more manipulative trading during information disruptions. Furthermore, a stock exchange upgrade weakens the abnormal trading channel. These findings suggest that international information flow is important to financial market quality.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107420"},"PeriodicalIF":3.6,"publicationDate":"2025-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143520278","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
Dissecting the return-predicting power of risk-neutral variance 剖析风险中性方差的收益预测能力
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-21 DOI: 10.1016/j.jbankfin.2025.107409
Zhongjin Lu , Chaehyun Pyun
{"title":"Dissecting the return-predicting power of risk-neutral variance","authors":"Zhongjin Lu ,&nbsp;Chaehyun Pyun","doi":"10.1016/j.jbankfin.2025.107409","DOIUrl":"10.1016/j.jbankfin.2025.107409","url":null,"abstract":"<div><div>We reassess the predictive power of risk-neutral excess-of-market stock variance (Martin and Wagner, 2019) for stock returns. After correcting two look-ahead biases that influence evidence supporting an average predictive coefficient of 0.5 reported in prior works, we find the data are too noisy to reject the null hypothesis of an average coefficient of zero. However, this insignificant average predictive coefficient conceals the predictability’s strong covariance with market volatility, as well as its large variation across characteristics-sorted subsamples. Out-of-sample analysis confirms that while the MW model does not significantly outperform benchmark models on average, it significantly outperforms during high-volatility periods.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107409"},"PeriodicalIF":3.6,"publicationDate":"2025-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488728","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
Fiduciary duty and corporate social responsibility: Evidence from corporate opportunity waiver 信义义务与企业社会责任：来自企业机会放弃的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-20 DOI: 10.1016/j.jbankfin.2025.107417
Naomi Boyd , Shenru Li , He (Helen) Wang , Xianjue Wang
{"title":"Fiduciary duty and corporate social responsibility: Evidence from corporate opportunity waiver","authors":"Naomi Boyd ,&nbsp;Shenru Li ,&nbsp;He (Helen) Wang ,&nbsp;Xianjue Wang","doi":"10.1016/j.jbankfin.2025.107417","DOIUrl":"10.1016/j.jbankfin.2025.107417","url":null,"abstract":"<div><div>This paper examines whether corporate social responsibility (CSR) aligns with shareholder interests or stems from agency conflicts. To explore this, we utilize the staggered adoption of state-level Corporate Opportunity Waiver (COW) laws, which potentially weaken the fiduciary duty of loyalty among directors and officers, thereby exacerbating agency conflicts. Through a difference-in-differences analysis, we find that CSR activities significantly decrease following the enactment of COW laws. This decline is more pronounced in firms with weaker corporate governance, greater external opportunities for directors and officers, less incentivized CEOs, and those operating in less competitive industries. Additionally, our results show that the positive effect of CSR on financial performance is diminished by the adoption of COW laws. These findings support the value-enhancing perspective of CSR and highlight the importance of fiduciary duty of loyalty in promoting CSR.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107417"},"PeriodicalIF":3.6,"publicationDate":"2025-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488729","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
Carbon management ability and climate risk exposure: An international investigation 碳管理能力与气候风险暴露：一项国际调查
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-19 DOI: 10.1016/j.jbankfin.2025.107415
Le Luo , Junru Zhang , Chen Zheng
{"title":"Carbon management ability and climate risk exposure: An international investigation","authors":"Le Luo ,&nbsp;Junru Zhang ,&nbsp;Chen Zheng","doi":"10.1016/j.jbankfin.2025.107415","DOIUrl":"10.1016/j.jbankfin.2025.107415","url":null,"abstract":"<div><div>Using a large international sample of firms, we examine the relation between carbon management ability (CMA) and firm-level climate risk exposure. We find that CMA is negatively associated with climate risk exposure. More importantly, we show that firms with high-CMA managers tend to achieve a reduction in climate risk exposure through enhancing regulatory compliance (evidenced by fewer stakeholder rights violations), reducing environmental, social, and governance-related controversies, investing in research and development, undertaking more investment in environmental initiatives, and cultivating a favorable corporate culture. Cross-sectional analyses indicate that the negative association between CMA and climate risk exposure is stronger for firms in carbon-intensive sectors and firms with a dedicated corporate sustainability committee. Further, we reveal that CMA exerts a greater influence on climate risk exposure in stakeholder-oriented countries and in countries that have signed the Paris Agreement. Finally, we reveal that firms with high-CMA managers tend to have better financial performance. Overall, our findings indicate that CMA plays a crucial role in driving firms towards more sustainable and responsible business practices, leading to better corporate performance and enhanced corporate reputation.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107415"},"PeriodicalIF":3.6,"publicationDate":"2025-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143479964","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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