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Windfall gains and stock market participation: Evidence from shopping receipt lottery 意外收益和股票市场参与：来自购物收据彩票的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-01-08 DOI: 10.1016/j.jbankfin.2024.107378
Tzu-Chang Forrest Cheng , Hsuan-Hua Huang , Tse-Chun Lin , Tzu-Ting Yang , Jian-Da Zhu
{"title":"Windfall gains and stock market participation: Evidence from shopping receipt lottery","authors":"Tzu-Chang Forrest Cheng ,&nbsp;Hsuan-Hua Huang ,&nbsp;Tse-Chun Lin ,&nbsp;Tzu-Ting Yang ,&nbsp;Jian-Da Zhu","doi":"10.1016/j.jbankfin.2024.107378","DOIUrl":"10.1016/j.jbankfin.2024.107378","url":null,"abstract":"<div><div>This paper utilizes receipt lotteries in Taiwan, along with comprehensive administrative data, to examine the effect of cash windfalls on stock market participation and portfolio diversification, which can help us understand whether wealth levels serve as the explanation for the limited participation and under-diversification puzzles in stock markets. The results indicate that each million TWD (approximately 33,000 USD) windfall gain from winning receipt lotteries increases the probability of stock market participation by 1.09 percentage points. This effect is primarily driven by individuals who were not participating in the stock market prior to winning. For existing participants, each million TWD windfall increases the total value of stocks by 142,552 TWD, attributed to both an increase in their number of shares and higher average prices of the stocks they hold. Additionally, we find that individuals do not significantly diversify their portfolios after winning the lottery, suggesting that wealth level is not the primary reason for under-diversification.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"172 ","pages":"Article 107378"},"PeriodicalIF":3.6,"publicationDate":"2025-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143148798","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 competition and formation of zombie firms: Evidence from banking deregulation in China 银行竞争与僵尸企业的形成：来自中国银行业放松管制的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-01-07 DOI: 10.1016/j.jbankfin.2025.107390
Xuchao Li , Xiang Shao , Guangjun Shen , Jingxian Zou
{"title":"Bank competition and formation of zombie firms: Evidence from banking deregulation in China","authors":"Xuchao Li ,&nbsp;Xiang Shao ,&nbsp;Guangjun Shen ,&nbsp;Jingxian Zou","doi":"10.1016/j.jbankfin.2025.107390","DOIUrl":"10.1016/j.jbankfin.2025.107390","url":null,"abstract":"<div><div>Can bank competition help to attenuate the prevalence of zombie firms? Motivated by a stylized model, this paper studies the effect of bank competition on the formation of zombie firms in two stages: the formation of distressed firms and distressed firms obtaining zombie lending. Using China's 2009 bank entry deregulation as a quasi-natural experiment, the paper finds that bank competition lowers the probability of the formation of distressed firms, while it increases the probability of distressed firms obtaining zombie lending. Overall, bank competition decreases the formation of zombie firms. In addition, the findings show that a higher ex ante proportion of bad loans and higher probability of bad loan recovery lead to a higher probability of distressed firms receiving zombie lending. Both factors encourage banks to sustain lending to distressed firms to keep them alive and to gamble that those firms may recover in the future.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"172 ","pages":"Article 107390"},"PeriodicalIF":3.6,"publicationDate":"2025-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143148799","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
CEO political ideology and payout policy CEO政治意识形态与薪酬政策
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-01-06 DOI: 10.1016/j.jbankfin.2024.107375
Ali Bayat , Marc Goergen
{"title":"CEO political ideology and payout policy","authors":"Ali Bayat ,&nbsp;Marc Goergen","doi":"10.1016/j.jbankfin.2024.107375","DOIUrl":"10.1016/j.jbankfin.2024.107375","url":null,"abstract":"<div><div>This study investigates how CEO political ideology affects payout policy. Studying the CEOs of S&amp;P 500 firms during 1997–2019 and measuring CEO political ideology by CEO political donations, we find that conservative CEOs are more likely to pay dividends and to make share repurchases, while also paying higher dividends. We find that conservative CEOs finance the higher dividends and share repurchases by utilizing the cash holdings and reducing capital and R&amp;D expenditures. Nevertheless, CEO political ideology does not explain dividend cuts. This suggests that firms led by conservative CEOs exhibit levels of dividend flexibility comparable to those of firms led by other CEOs. Finally, we find that CEO conservatism has no effect on firm performance, firm value, R&amp;D expenditure, and capital expenditure.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"172 ","pages":"Article 107375"},"PeriodicalIF":3.6,"publicationDate":"2025-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143148801","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
CSR scores versus actual impacts: Banks’ main street lending during the great recession CSR得分与实际影响：大衰退期间银行的主要街头贷款
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-01-04 DOI: 10.1016/j.jbankfin.2025.107380
Dong Beom Choi , Seongjun Jeong
{"title":"CSR scores versus actual impacts: Banks’ main street lending during the great recession","authors":"Dong Beom Choi ,&nbsp;Seongjun Jeong","doi":"10.1016/j.jbankfin.2025.107380","DOIUrl":"10.1016/j.jbankfin.2025.107380","url":null,"abstract":"<div><div>We examine the relationship between banks’ corporate social responsibility (CSR) scores, measured at the peak of the boom, and their lending behaviors during the Great Recession. High-CSR banks, expected to better support local borrowers during critical periods, instead reduced small business lending more sharply than their low-CSR counterparts. This paradox arises from CSR scores’ emphasis on visible but less material attributes, such as employee benefits, which are easier to measure during booms but deplete financial slack necessary for sustained lending under stress. Our findings highlight a misalignment between CSR metrics and material social impacts, underscoring the need for more reliable performance measures to implement stakeholderism effectively.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"172 ","pages":"Article 107380"},"PeriodicalIF":3.6,"publicationDate":"2025-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143148803","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 real effect of monetary policy under uncertainty: Evidence from the change in corporate financing purposes 不确定性下货币政策的真实效果：来自企业融资目的变化的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-01-03 DOI: 10.1016/j.jbankfin.2025.107381
Jiajun Lu , Linying Lv , Yizhong Wang , Yueteng Zhu
{"title":"The real effect of monetary policy under uncertainty: Evidence from the change in corporate financing purposes","authors":"Jiajun Lu ,&nbsp;Linying Lv ,&nbsp;Yizhong Wang ,&nbsp;Yueteng Zhu","doi":"10.1016/j.jbankfin.2025.107381","DOIUrl":"10.1016/j.jbankfin.2025.107381","url":null,"abstract":"<div><div>This paper introduces the “financing purposes (FP) channel”, a new channel through which uncertainty affects the effectiveness of monetary policy. Using U.S. bank-firm-loan-level data from 1990 to 2019, we examine how firms adjust FP in response to monetary policy shocks and how this response varies with the level of macroeconomic uncertainty. We find that firms demand more bank loans for investment-related purposes during monetary expansion, but this tendency diminishes notably when uncertainty spikes. A counterfactual analysis suggests that heightened uncertainty explains almost half of the decline in the share of productive loans during the Great Recession. Our results are not driven by banks’ credit supply and are more pronounced for more financially constrained firms and those with a higher degree of investment irreversibility, aligning with the real options theory and financial frictions channel. We also show that FP positively predicts real activities such as investment and employment growth, indicating that high uncertainty weakens the monetary policy transmission via the financing purposes channel.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"172 ","pages":"Article 107381"},"PeriodicalIF":3.6,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143148802","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
Global currency hedging with ambiguity 模棱两可的全球货币对冲
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-12-28 DOI: 10.1016/j.jbankfin.2024.107366
Urban Ulrych , Nikola Vasiljević
{"title":"Global currency hedging with ambiguity","authors":"Urban Ulrych ,&nbsp;Nikola Vasiljević","doi":"10.1016/j.jbankfin.2024.107366","DOIUrl":"10.1016/j.jbankfin.2024.107366","url":null,"abstract":"<div><div>This paper examines the issue of optimal currency allocation for an international investor who is both risk- and ambiguity-averse. Utilizing a robust mean–variance model that incorporates smooth ambiguity preferences, we derive a closed-form solution for the optimal currency exposure. Within this theoretical framework, the demand for optimal currency hedging is formulated as the solution to a generalized ridge regression. Our findings indicate that the investor’s aversion to model uncertainty increases the demand for hedging. The empirical analysis illustrates that ambiguity introduces greater estimation bias and narrows the confidence interval of the optimal currency exposure estimator. An out-of-sample backtest further demonstrates that incorporating ambiguity into the model improves the stability of optimal currency allocation over time and significantly reduces portfolio volatility after accounting for transaction costs.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"172 ","pages":"Article 107366"},"PeriodicalIF":3.6,"publicationDate":"2024-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143148800","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
How should we measure the performance of corporate bond mutual funds? Evaluating model quality and impact on inferences 我们应该如何衡量公司债券共同基金的表现？评估模型质量和对推论的影响
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-12-13 DOI: 10.1016/j.jbankfin.2024.107367
Yuekun Liu , Timothy B. Riley
{"title":"How should we measure the performance of corporate bond mutual funds? Evaluating model quality and impact on inferences","authors":"Yuekun Liu ,&nbsp;Timothy B. Riley","doi":"10.1016/j.jbankfin.2024.107367","DOIUrl":"10.1016/j.jbankfin.2024.107367","url":null,"abstract":"<div><div>The performance of corporate bond mutual funds tends to be estimated using models with limited empirical validation. We survey the literature to determine the models in use and develop a representative set of models. Testing that set of models, we find considerable variation in quality, with the most effective models sharing common traits. We recommend, among the tested models, the four-factor model proposed by Jones and Mo (2021). Regarding the stylized facts of corporate bond fund performance, our recommended model produces notable deviations from the prior literature and other models, including less evidence of positive alphas not attributable to luck.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"173 ","pages":"Article 107367"},"PeriodicalIF":3.6,"publicationDate":"2024-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143436970","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
Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns 好的特殊波动率，坏的特殊波动率，以及股票收益的横截面
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-29 DOI: 10.1016/j.jbankfin.2024.107343
Yunting Liu , Yandi Zhu
{"title":"Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns","authors":"Yunting Liu ,&nbsp;Yandi Zhu","doi":"10.1016/j.jbankfin.2024.107343","DOIUrl":"10.1016/j.jbankfin.2024.107343","url":null,"abstract":"<div><div>We decompose the idiosyncratic volatility of stock returns into “good” and “bad” volatility components, which are associated with positive and negative returns, respectively. Using firm characteristics, we estimate a cross-sectional model for the expected idiosyncratic good minus bad volatility (EIGMB). The EIGMB outperforms expected idiosyncratic skewness (EISKEW) and standard time-series models in capturing conditional idiosyncratic return asymmetry. EIGMB is negatively and significantly associated with future stock returns, even after controlling for EIKSEW and exposure to systematic-skewness-related factors. Separating the role each specific characteristic plays in driving the predictive power of EIGMB for returns, we find that return on equity and momentum are two important elements of variation in EIGMB.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107343"},"PeriodicalIF":3.6,"publicationDate":"2024-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142759052","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
Forecasting the realized variance in the presence of intraday periodicity 预测存在日内周期性的已实现方差
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-23 DOI: 10.1016/j.jbankfin.2024.107342
Ana Maria H. Dumitru , Rodrigo Hizmeri , Marwan Izzeldin
{"title":"Forecasting the realized variance in the presence of intraday periodicity","authors":"Ana Maria H. Dumitru ,&nbsp;Rodrigo Hizmeri ,&nbsp;Marwan Izzeldin","doi":"10.1016/j.jbankfin.2024.107342","DOIUrl":"10.1016/j.jbankfin.2024.107342","url":null,"abstract":"<div><div>This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted HAR model, HARP, where predictors are constructed from the periodicity-filtered data. We demonstrate empirically (using 30 stocks from various business sectors and the SPY for the period 2000–2020) and via Monte Carlo simulations that the HARP models produce significantly better forecasts across all forecasting horizons. We also show that adjusting for periodicity when estimating the variance risk premium improves return predictability.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107342"},"PeriodicalIF":3.6,"publicationDate":"2024-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142722104","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
FinTech vs. Bank: The impact of lending technology on credit market competition 金融科技与银行：借贷技术对信贷市场竞争的影响
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2024-11-20 DOI: 10.1016/j.jbankfin.2024.107338
Konstantinos Serfes , Kejia Wu , Panagiotis Avramidis
{"title":"FinTech vs. Bank: The impact of lending technology on credit market competition","authors":"Konstantinos Serfes ,&nbsp;Kejia Wu ,&nbsp;Panagiotis Avramidis","doi":"10.1016/j.jbankfin.2024.107338","DOIUrl":"10.1016/j.jbankfin.2024.107338","url":null,"abstract":"<div><div>Does the recent proliferation of technology in lending process have an impact on business loan market competition? Using a theoretical model that assumes heterogeneity in lenders’ screening abilities and borrowers’ investment horizons, we show that FinTech (Traditional) lenders primarily supply unsecured (asset-backed) loans to borrowers with short-term (long-term) projects. The model builds on the interplay between screening ability and collateral requirements to characterize the competition between two ex-ante symmetric lenders. Lenders use screening technology and collateral requirements to mitigate competition and restrict the supply of credit through an endogenous segmentation of the loan market. As information technology improves, the effect on credit supply and equilibrium interest rates becomes more nuanced and depends on the market segment. The results offer a supply-side explanation for the growth of unsecured lending.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"170 ","pages":"Article 107338"},"PeriodicalIF":3.6,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142722105","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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