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Trading options and CDS on stocks under the short sale ban 卖空禁令下的股票期权和 CDS 交易
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-07-02 DOI: 10.1016/j.jbankfin.2024.107243
Sophie Xiaoyan Ni , Jun Pan
{"title":"Trading options and CDS on stocks under the short sale ban","authors":"Sophie Xiaoyan Ni ,&nbsp;Jun Pan","doi":"10.1016/j.jbankfin.2024.107243","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107243","url":null,"abstract":"<div><p>We analyze price discovery in the options and CDS markets during the 2008 short-sale ban. Among the banned stocks, those with high open-purchased put–call ratios, low synthetic-to-stock price ratios, or high CDS rates exhibit poor performance in the following days. Additionally, options prices are more efficient for unbanned stocks during the ban period. These findings suggest that informed investors engage in derivative trading during highly distressed market conditions and that derivative prices contain more information about stock prices during the ban.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"167 ","pages":"Article 107243"},"PeriodicalIF":3.6,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141607610","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
Uncertainty premia for small and large risks 小风险和大风险的不确定性溢价
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-29 DOI: 10.1016/j.jbankfin.2024.107253
Martin Puhl , Pavel Savor , Mungo Wilson
{"title":"Uncertainty premia for small and large risks","authors":"Martin Puhl ,&nbsp;Pavel Savor ,&nbsp;Mungo Wilson","doi":"10.1016/j.jbankfin.2024.107253","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107253","url":null,"abstract":"<div><p>We develop a model showing that the effect of smooth ambiguity aversion on large risks, those that are independent of the holding period, is of first-order importance, in contrast to risks that are proportional to the holding period. To test this hypothesis, we construct an ex-ante measure of the price of uncertainty based on changes in the option-implied concavity of preferences. As predicted by our model, we find that such concavity increases ahead of scheduled macroeconomic announcements, which represent large risks. We also provide an estimate of the coefficient of relative ambiguity aversion and show how uncertainty varies across different announcements. Our results suggest that the macroeconomic announcement premium arises at least partly because of an increase in the price of uncertainty. One implication is that a fundamental benefit of securities markets is that they break large risks into small ones by allowing frequent trading, thereby reducing discount rates.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"167 ","pages":"Article 107253"},"PeriodicalIF":3.6,"publicationDate":"2024-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141607609","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
Is bank misconduct related to social capital? Evidence from U.S. banks 银行不当行为与社会资本有关吗？来自美国银行的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-29 DOI: 10.1016/j.jbankfin.2024.107256
Jose M. Martin-Flores
{"title":"Is bank misconduct related to social capital? Evidence from U.S. banks","authors":"Jose M. Martin-Flores","doi":"10.1016/j.jbankfin.2024.107256","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107256","url":null,"abstract":"<div><p>This paper investigates whether social capital plays a role in bank misconduct. I find that U.S. banks headquartered in high social capital areas, as indicated by the strength of civic norms and the density of social networks, are less likely to face enforcement actions. This relationship is mainly significant for banks with a lower geographical dispersion, and it holds in a range of robustness and endogeneity tests. I run additional tests based on classes of enforcement actions, components of social capital, risk-taking, opacity, and bank actions associated with negative externalities. These tests deliver results supporting the idea that the main findings of the paper are largely attributed to social capital's role in exerting external discipline, which prevents misconduct-related behaviors in banks.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"167 ","pages":"Article 107256"},"PeriodicalIF":3.6,"publicationDate":"2024-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141595458","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
Belief dispersion in the Chinese stock market and fund flows 中国股市的信仰分散与资金流动
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-27 DOI: 10.1016/j.jbankfin.2024.107252
Yue Fang , Deming Luo , Zhongwei Yao
{"title":"Belief dispersion in the Chinese stock market and fund flows","authors":"Yue Fang ,&nbsp;Deming Luo ,&nbsp;Zhongwei Yao","doi":"10.1016/j.jbankfin.2024.107252","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107252","url":null,"abstract":"<div><p>This study explores how Chinese mutual fund managers’ degrees of disagreement (DOD) on stock market returns affect investor capital allocation decisions using a novel text-based measure of expectations in fund disclosures. In the time series, the DOD negatively predicts market returns. Cross-sectional results show that investors correctly perceive the DOD as an overpricing signal and discount fund performance accordingly. Flow-performance sensitivity (FPS) is diminished during high dispersion periods. The effect is stronger for outperforming funds and funds with substantial investments in bubble and high-beta stocks, but weaker for skilled funds. We also discuss the financial sophistication of investors and provide evidence that our results are not contingent upon such sophistication.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"166 ","pages":"Article 107252"},"PeriodicalIF":3.6,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141540652","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 ownership around the world 世界各地的银行所有权
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-25 DOI: 10.1016/j.jbankfin.2024.107255
Ugo Panizza
{"title":"Bank ownership around the world","authors":"Ugo Panizza","doi":"10.1016/j.jbankfin.2024.107255","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107255","url":null,"abstract":"<div><p>This paper describes a dataset on bank ownership that covers more than 6,500 banks in 181 countries. It documents that until 2010, there was a reduction in state-ownership of banks and an increase in foreign ownership. However, the Global Financial Crisis interrupted or reversed these trends. I show that at the country level, there is no robust relationship between bank ownership and each of GDP growth and financial depth. Bank-level regressions show that state-owned banks are less profitable and have a higher share of non-performing loans than their private (domestic or foreign) counterparts. There is also evidence that state-owned banks stabilize credit in the presence of domestic shocks (more so in the presence of positive shocks). Instead, foreign banks amplify external shocks. In terms of domestic shocks, foreign banks are not significantly different from their domestic private counterparts.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"166 ","pages":"Article 107255"},"PeriodicalIF":3.6,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624001699/pdfft?md5=54830793762949f30ce5bae7362df474&pid=1-s2.0-S0378426624001699-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141540656","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 impact of managerial myopia on cybersecurity: Evidence from data breaches 管理近视对网络安全的影响：数据泄露事件的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-24 DOI: 10.1016/j.jbankfin.2024.107254
Wen Chen , Xing Li , Haibin Wu , Liandong Zhang
{"title":"The impact of managerial myopia on cybersecurity: Evidence from data breaches","authors":"Wen Chen ,&nbsp;Xing Li ,&nbsp;Haibin Wu ,&nbsp;Liandong Zhang","doi":"10.1016/j.jbankfin.2024.107254","DOIUrl":"https://doi.org/10.1016/j.jbankfin.2024.107254","url":null,"abstract":"<div><p>Using a sample of U.S. firms for the period 2005–2017, we provide evidence that managerial myopic actions contribute to corporate cybersecurity risk. Specifically, we show that abnormal cuts in discretionary expenditures, our proxy for managerial myopia, are positively associated with the likelihood of data breaches. The association is largely driven by firms that appear to cut discretionary expenditures to meet short-term earnings targets. In addition, the association is stronger for firms with greater short-term equity incentives, higher earnings response coefficients, low levels of institutional block ownership, or large market shares. Finally, firms appear to increase discretionary expenditures upon the announcement of data breaches by their industry peers.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"166 ","pages":"Article 107254"},"PeriodicalIF":3.6,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141540653","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
What drives startup valuations? 是什么推动了初创企业的估值？
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-17 DOI: 10.1016/j.jbankfin.2024.107251
Björn Imbierowicz , Christian Rauch
{"title":"What drives startup valuations?","authors":"Björn Imbierowicz ,&nbsp;Christian Rauch","doi":"10.1016/j.jbankfin.2024.107251","DOIUrl":"10.1016/j.jbankfin.2024.107251","url":null,"abstract":"<div><p>We find that valuations of Venture Capital-backed startup companies invested by mutual funds are driven by their peer valuations rather than their fundamentals, such as operating performances. As startups oftentimes experience substantial valuation changes at their Initial Public Offerings (IPO), we also investigate the share pricing transition of startups from private to public companies. We find that more active pricing of shares prior to the IPO correlates with smaller discrepancies between private and public valuations as well as lower IPO mispricing, suggesting a link between private and public market pricing efficiency. Jointly, our results help investors and regulators achieve a better understanding of the dynamics behind misvaluation in private assets in general, and startups in particular.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"168 ","pages":"Article 107251"},"PeriodicalIF":3.6,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142077541","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
Nonlinearities and a pecking order in cross-border investment 跨境投资中的非线性和啄食顺序
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-12 DOI: 10.1016/j.jbankfin.2024.107250
Sara B. Holland , Sergei Sarkissian , Michael J. Schill , Francis E. Warnock
{"title":"Nonlinearities and a pecking order in cross-border investment","authors":"Sara B. Holland ,&nbsp;Sergei Sarkissian ,&nbsp;Michael J. Schill ,&nbsp;Francis E. Warnock","doi":"10.1016/j.jbankfin.2024.107250","DOIUrl":"10.1016/j.jbankfin.2024.107250","url":null,"abstract":"<div><p>Nonlinearities can arise in international investment factors because of a pecking order in barriers. When direct barriers are severe, improvements in governance factors such as rule of law and expropriation risk can increase investment. Only when severe barriers are ameliorated can factors such as firm-specific information, transaction costs and hedging motives become more important. Evidence from unconditional quantile regressions provides support for a pecking order hypothesis, as we find that investment factors vary across the distribution. Specifically, our empirical results indicate that access to basic information is important everywhere, governance and familiarity matter where barriers are high, roles for information and hedging motives become more apparent where barriers are moderate, and where there are no barriers small improvements in governance have little effect on investment. Going forward, analysis should incorporate nonlinearities inherent in cross-border barriers and investment.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"166 ","pages":"Article 107250"},"PeriodicalIF":3.6,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141399796","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
Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993] 抵押贷款支持证券的复杂性和违约风险》更正[《银行与金融杂志》155 (2023) 106993]
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-08 DOI: 10.1016/j.jbankfin.2024.107236
{"title":"Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993]","authors":"","doi":"10.1016/j.jbankfin.2024.107236","DOIUrl":"10.1016/j.jbankfin.2024.107236","url":null,"abstract":"","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"166 ","pages":"Article 107236"},"PeriodicalIF":3.6,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0378426624001535/pdfft?md5=e12a2cc9c59318c4cc2643f3a8f46421&pid=1-s2.0-S0378426624001535-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141397842","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
Gender difference in overconfidence and household financial literacy 过度自信与家庭理财知识的性别差异
IF 3.7 2区 经济学
Journal of Banking & Finance Pub Date : 2024-06-06 DOI: 10.1016/j.jbankfin.2024.107237
Edward R. Lawrence , Thanh D. Nguyen , Benedikt Wick
{"title":"Gender difference in overconfidence and household financial literacy","authors":"Edward R. Lawrence ,&nbsp;Thanh D. Nguyen ,&nbsp;Benedikt Wick","doi":"10.1016/j.jbankfin.2024.107237","DOIUrl":"10.1016/j.jbankfin.2024.107237","url":null,"abstract":"<div><p>We study overconfidence related to financial knowledge among men and women within U.S. households, venturing beyond prior research confined to subsamples such as CEOs, retail investors, and older adults. By expanding our study to the broader U.S. population, we provide evidence that women, on average, exhibit greater overconfidence than men – a discrepancy attributable to the gender difference in financial knowledge. We find a positive association between overconfidence and both investment risk-taking and savings behavior, while it correlates inversely with prudent credit card management. Our findings emphasize the instrumental role of financial literacy in mitigating overconfidence, providing a deeper understanding of the interaction between gender, overconfidence, and financial literacy. Our results carry profound implications for policy interventions and educational strategies.</p></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"166 ","pages":"Article 107237"},"PeriodicalIF":3.7,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141398858","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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