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Bank cost efficiency and credit market structure under a volatile exchange rate 汇率波动下的银行成本效率和信贷市场结构
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jbankfin.2024.107285
Mikhail Mamonov , Christopher F. Parmeter , Artem B. Prokhorov
{"title":"Bank cost efficiency and credit market structure under a volatile exchange rate","authors":"Mikhail Mamonov ,&nbsp;Christopher F. Parmeter ,&nbsp;Artem B. Prokhorov","doi":"10.1016/j.jbankfin.2024.107285","DOIUrl":"10.1016/j.jbankfin.2024.107285","url":null,"abstract":"<div><p>We study the impact of exchange rate volatility on cost efficiency and market structure in a cross-section of banks that have non-trivial exposures to foreign currency (FX) operations. We use unique data on quarterly revaluations of FX assets and liabilities (Revals) that Russian banks were reporting between 2004 Q1 and 2020 Q2. <em>First</em>, we document that Revals constitute the largest part of the banks’ total costs, 26.5% on average, with considerable variation across banks. <em>Second</em>, we find that stochastic estimates of cost efficiency are both severely downward biased – by 30% on average – and generally not rank preserving when Revals are ignored, except for the tails, as our nonparametric copulas reveal. To ensure generalizability to other emerging market economies, we suggest a two-stage approach that does not rely on Revals but is able to shrink the downward bias in cost efficiency estimates by two-thirds. <em>Third</em>, we show that Revals are triggered by the mismatch in the banks’ FX operations, which, in turn, is driven by household FX deposits and the instability of Ruble’s exchange rate. <em>Fourth</em>, we find that the failure to account for Revals leads to the erroneous conclusion that the credit market is inefficient, which is driven by the upper quartile of the banks’ distribution by total assets. Revals have considerable negative implications for financial stability which can be attenuated by the cross-border diversification of bank assets.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107285"},"PeriodicalIF":3.6,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141992759","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
ETF arbitrage and international diversification ETF 套利和国际多样化
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jbankfin.2024.107274
Ilias Filippou , Arie Gozluklu , Hari Rozental
{"title":"ETF arbitrage and international diversification","authors":"Ilias Filippou ,&nbsp;Arie Gozluklu ,&nbsp;Hari Rozental","doi":"10.1016/j.jbankfin.2024.107274","DOIUrl":"10.1016/j.jbankfin.2024.107274","url":null,"abstract":"<div><p>We show that investment decisions of country ETF market participants measured by ETF market order imbalances are driven by global shocks rather than local risks. We argue that the ETF price discovery mechanism is one of the key channels through which global shocks propagate to local economies, leading to increased return correlation with the U.S. market and limiting the benefits of international diversification. ETF order imbalance is predictive of the underlying MSCI index returns. The staggered introduction of country ETFs alters return correlations between underlying foreign and U.S. market indices. We find that countries with stronger ETF price discovery have higher comovement with the U.S. market lending further support for the proposed mechanism.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107274"},"PeriodicalIF":3.6,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141998140","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
National culture of secrecy and firms’ access to credit 国家保密文化与企业获得信贷的机会
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-06 DOI: 10.1016/j.jbankfin.2024.107277
Jérémie Bertrand , Paul-Olivier Klein , Fotios Pasiouras
{"title":"National culture of secrecy and firms’ access to credit","authors":"Jérémie Bertrand ,&nbsp;Paul-Olivier Klein ,&nbsp;Fotios Pasiouras","doi":"10.1016/j.jbankfin.2024.107277","DOIUrl":"10.1016/j.jbankfin.2024.107277","url":null,"abstract":"<div><p>High secrecy cultures are characterized by a preference for confidentiality and non-disclosure of information. This study documents the impact of cultural differences in secrecy on firms’ access to credit. We use data from the World Bank Enterprise Surveys for a large sample of firms operating in 35 countries from 2010 to 2019. We show that firms operating in countries with higher levels of secrecy are less likely to apply for credit when they need it—they are more discouraged—and also less likely to receive credit when they do apply—they are more rationed. The underlying economic channels are greater opacity and corruption in cultures with high secrecy. The effect of cultural secrecy on credit discouragement and credit rationing is moderated by trust in banks, interpersonal trust, and firms’ financial dependence on external sources. We control for several potential alternative drivers and conduct several robustness tests. The results confirm that firms have better access to credit in cultures that promote transparency and information disclosure.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107277"},"PeriodicalIF":3.6,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141953884","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 information content of retail order flow: Evidence from fragmented markets 零售订单流的信息含量：来自分散市场的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-08-02 DOI: 10.1016/j.jbankfin.2024.107275
Bidisha Chakrabarty , Justin Cox , James E Upson
{"title":"The information content of retail order flow: Evidence from fragmented markets","authors":"Bidisha Chakrabarty ,&nbsp;Justin Cox ,&nbsp;James E Upson","doi":"10.1016/j.jbankfin.2024.107275","DOIUrl":"10.1016/j.jbankfin.2024.107275","url":null,"abstract":"<div><p>We examine the information content of off-exchange retail order flow relative to off-exchange institutional and on-exchange order flow. We use alternative sources of retail order identification and account for the fact that market opacity affects the order routing choices of both institutions and the brokers who sell retail orders. After controlling for volume effects, we find that retail order flow is more informed than off-exchange institutional order flow. Off-exchange price discovery comes mostly from retail order flow. However, on days with greater Robinhood activity, the information content of retail order flow drops. Our results reconcile some mixed findings in this literature.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"167 ","pages":"Article 107275"},"PeriodicalIF":3.6,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141936988","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
U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K. 美国宏观经济新闻与加拿大、瑞典和英国债券收益率的低频变化。
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-07-31 DOI: 10.1016/j.jbankfin.2024.107270
Bingxin Ann Xing , Bruno Feunou , Morvan Nongni-Donfack , Rodrigo Sekkel
{"title":"U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K.","authors":"Bingxin Ann Xing ,&nbsp;Bruno Feunou ,&nbsp;Morvan Nongni-Donfack ,&nbsp;Rodrigo Sekkel","doi":"10.1016/j.jbankfin.2024.107270","DOIUrl":"10.1016/j.jbankfin.2024.107270","url":null,"abstract":"<div><p>This paper investigates the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden, and the U.K. We follow two complementary approaches: First, we apply a regression-based framework that aggregates the impact of daily macroeconomic news on bond yields to a lower quarterly frequency. Next, we estimate a macro-finance affine term structure model linking the daily news to lower-frequency changes in bond yields and its expectations and term premia components. Both approaches show that U.S. macroeconomic news is an important source of lower-frequency quarterly fluctuations in bond yields in these open economies, and even more important than their respective domestic macroeconomic news. Furthermore, the macro-finance model shows that U.S. macroeconomic news is particularly important in explaining low-frequency changes in the expectation components of the nominal, real, and break-even inflation rates.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107270"},"PeriodicalIF":3.6,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141937094","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
Personal bankruptcy costs, union bargaining power, and capital structure 个人破产成本、工会议价能力和资本结构
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-07-25 DOI: 10.1016/j.jbankfin.2024.107271
Joseph T. Halford , Rachel M. Hayes , Valeriy Sibilkov
{"title":"Personal bankruptcy costs, union bargaining power, and capital structure","authors":"Joseph T. Halford ,&nbsp;Rachel M. Hayes ,&nbsp;Valeriy Sibilkov","doi":"10.1016/j.jbankfin.2024.107271","DOIUrl":"10.1016/j.jbankfin.2024.107271","url":null,"abstract":"<div><p>We document that employee bankruptcy costs affect corporate capital structure decisions via their impact on the bargaining power of labor unions. We employ difference-in-differences and triple-difference research designs surrounding a major bankruptcy reform that increased personal bankruptcy costs. Our results suggest that, on average, this reform reduced unions’ bargaining power, resulting in a decrease in the financial leverage of unionized firms relative to nonunionized firms. Our results provide new evidence for a relatively unexplored determinant of capital structure—personal bankruptcy costs.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107271"},"PeriodicalIF":3.6,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141843616","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
Lottery jackpot winnings and retail trading in the neighborhood 彩票大奖奖金和附近的零售贸易
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-07-17 DOI: 10.1016/j.jbankfin.2024.107269
Dien Giau Bui , Yu-Ju Chan , Chih-Yung Lin , Tse-Chun Lin
{"title":"Lottery jackpot winnings and retail trading in the neighborhood","authors":"Dien Giau Bui ,&nbsp;Yu-Ju Chan ,&nbsp;Chih-Yung Lin ,&nbsp;Tse-Chun Lin","doi":"10.1016/j.jbankfin.2024.107269","DOIUrl":"10.1016/j.jbankfin.2024.107269","url":null,"abstract":"<div><p>We use lottery jackpot winnings in a neighborhood as an exogenous shock to investing in stocks. We find that retail investors whose brokerages are near the stores that sell winning tickets buy more stocks than their counterparts after the shock. These purchases lead to lower returns. We use a survey to identify the behavioral factors like regretfulness and probability weighting that are the main drivers of our findings. Moreover, these investors tend to buy more lottery-like stocks, but the shock does not affect their selling decisions. Finally, we perform several falsification tests and robustness checks and find consistent results.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"167 ","pages":"Article 107269"},"PeriodicalIF":3.6,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141843548","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
Variance risk premiums in emerging markets 新兴市场的差异风险溢价
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-07-15 DOI: 10.1016/j.jbankfin.2024.107259
Fang Qiao , Lai Xu , Xiaoyan Zhang , Hao Zhou
{"title":"Variance risk premiums in emerging markets","authors":"Fang Qiao ,&nbsp;Lai Xu ,&nbsp;Xiaoyan Zhang ,&nbsp;Hao Zhou","doi":"10.1016/j.jbankfin.2024.107259","DOIUrl":"10.1016/j.jbankfin.2024.107259","url":null,"abstract":"<div><p>We provide for the first time the emerging market variance risk premium (EMVRP) from 2006 to 2023, based on nine emerging stock and option markets—Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan. The EMVRP significantly predicts international stock returns and currency appreciation rates, especially for horizons longer than six months. This is in sharp contrast with the predictive pattern of the developed market variance risk premium (DMVRP), which is more important over horizons shorter than six months. These findings are consistent with an illustrative model incorporating partial market integration and heterogeneous economic uncertainty.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"167 ","pages":"Article 107259"},"PeriodicalIF":3.6,"publicationDate":"2024-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141959549","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
Pandemic tail risk 大流行病尾部风险
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-07-11 DOI: 10.1016/j.jbankfin.2024.107257
Matthijs Breugem , Raffaele Corvino , Roberto Marfè , Lorenzo Schönleber
{"title":"Pandemic tail risk","authors":"Matthijs Breugem ,&nbsp;Raffaele Corvino ,&nbsp;Roberto Marfè ,&nbsp;Lorenzo Schönleber","doi":"10.1016/j.jbankfin.2024.107257","DOIUrl":"10.1016/j.jbankfin.2024.107257","url":null,"abstract":"<div><p>This paper studies the measurement of forward-looking tail risk in US equity markets around the COVID-19 outbreak. We document that financial markets are informative about how pandemic risk has spread in the economy in advance of the actual outbreak. While the tail risk of the market index did not respond before the outbreak, investors identified less pandemic-resilient economic sectors whose tail risk boomed in advance of both the market drawdown and the implementation of social distancing provisions. This pattern is consistent across different methodologies for measuring forward-looking tail risk, using option contracts, and across various horizons.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"167 ","pages":"Article 107257"},"PeriodicalIF":3.6,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141706306","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 effect of labor mobility on corporate investment and performance over the business cycle 商业周期中劳动力流动对企业投资和绩效的影响
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-07-04 DOI: 10.1016/j.jbankfin.2024.107258
John (Jianqiu) Bai , Ashleigh Eldemire , Matthew Serfling
{"title":"The effect of labor mobility on corporate investment and performance over the business cycle","authors":"John (Jianqiu) Bai ,&nbsp;Ashleigh Eldemire ,&nbsp;Matthew Serfling","doi":"10.1016/j.jbankfin.2024.107258","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107258","url":null,"abstract":"<div><p>We show that time-series variation in investment opportunities and labor demand create heterogeneity in the effects of labor mobility on corporate investment over the business cycle. To isolate variation in labor mobility, we create an annual state-level index from 1984 through 2017 that captures the degree to which state courts enforce covenants not to compete. We find that firms located in more mobile labor markets increase investment rates more during economic expansions but have similar investment rates during periods of low or negative growth. This increased investment during expansions is greater for firms that rely more on recruiting skilled and experienced workers to grow their businesses, and it translates into higher sales growth rates, profits, and valuations. Overall, our results suggest that the benefits of being able to recruit qualified workers with relevant experience during expansions outweigh the costs associated with losing key workers.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"166 ","pages":"Article 107258"},"PeriodicalIF":3.6,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141582537","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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