发布求助
文献互助 智能选刊 最新文献

Journal of Banking & Finance最新文献

筛选
英文 中文
Downside risk and hedge fund returns 下行风险和对冲基金回报
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107345
Christos Argyropoulos , Ekaterini Panopoulou , Spyridon Vrontos
{"title":"Downside risk and hedge fund returns","authors":"Christos Argyropoulos ,&nbsp;Ekaterini Panopoulou ,&nbsp;Spyridon Vrontos","doi":"10.1016/j.jbankfin.2024.107345","DOIUrl":"10.1016/j.jbankfin.2024.107345","url":null,"abstract":"<div><div>This study compares the predictive power of downside risk for hedge funds and fund of hedge funds returns. We find a positive relationship between downside risk and return for hedge funds but not for funds of hedge funds. This result is robust to the downside risk measure employed and additional control variables. Furthermore, we find that funds of hedge funds perform significantly worse than hedge funds during adverse equity market regimes, exhibiting an inverse (negative) risk–return relationship. Finally, we form realistic portfolios to determine whether an investor can construct a portfolio that outperforms the average fund of hedge funds. These portfolios display superior risk-adjusted performance and rank among the top performers of funds of hedge funds in our sample.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107345"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102362","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
Multivariate crash risk in China 中国的多元崩溃风险
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107365
Tongshuai Qiao , Yang Zhao , Liyan Han , Donghui Li
{"title":"Multivariate crash risk in China","authors":"Tongshuai Qiao ,&nbsp;Yang Zhao ,&nbsp;Liyan Han ,&nbsp;Donghui Li","doi":"10.1016/j.jbankfin.2024.107365","DOIUrl":"10.1016/j.jbankfin.2024.107365","url":null,"abstract":"<div><div>This study examines the pricing of multivariate crash risk (MCRASH) in the Chinese stock market. Our findings indicate a significantly positive influence of MCRASH on the cross-section of future stock returns, with the MCRASH premium being notably higher in China than in the US. A plausible explanation for China's higher MCRASH premium is that Chinese stocks may experience greater loss magnitudes in left-tail events, leading investors to demand higher expected returns as compensation for bearing a unit of MCRASH. Additionally, the return effect of MCRASH is found to be significantly stronger for stocks of non-state-owned enterprises and those with lower media coverage. Finally, we construct a four-factor model comprising market, size, value, and MCRASH factors, which demonstrates superior explanatory power compared with the CH3 and CH4 models proposed in the literature.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107365"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102364","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 market for corporate control and firm information environment: Evidence from five decades of data 公司控制权市场与企业信息环境：来自50年数据的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107350
Xiaoran Ni , Ye Wang , David Yin
{"title":"The market for corporate control and firm information environment: Evidence from five decades of data","authors":"Xiaoran Ni ,&nbsp;Ye Wang ,&nbsp;David Yin","doi":"10.1016/j.jbankfin.2024.107350","DOIUrl":"10.1016/j.jbankfin.2024.107350","url":null,"abstract":"<div><div>This paper reconciles conflicting empirical findings in the takeover and firm transparency literature by utilizing a comprehensive takeover index from Cain, McKeon, and Solomon (2017). Examining a broad sample of U.S. public firms from 1970 to 2020, we document a negative relation between takeover susceptibility and firm opacity, measured primarily through stock price crash risk, and also through accrual/real earnings management, financial statement readability, analyst forecast dispersion, and voluntary disclosure. Stronger takeover threats mitigate crash risk by curtailing managerial empire-building incentives, promoting timely information disclosure, and constraining manipulative accounting practices. Our research confirms the effectiveness of the market for corporate control in addressing information-related agency problems and enhancing firm transparency. These findings persist across a broad range of firms and an extended time period, addressing the limitations of earlier studies. By employing a more holistic measure of takeover vulnerability and examining multiple facets of transparency, we provide a nuanced understanding of how corporate governance mechanisms influence firm performance and risk.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107350"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102353","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 and cross-sectional stock returns: Evidence from China 不确定性与横截面股票收益：来自中国的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107374
Bruno Deschamps, Tianlun Fei, Ying Jiang, Xiaoquan Liu
{"title":"Uncertainty and cross-sectional stock returns: Evidence from China","authors":"Bruno Deschamps,&nbsp;Tianlun Fei,&nbsp;Ying Jiang,&nbsp;Xiaoquan Liu","doi":"10.1016/j.jbankfin.2024.107374","DOIUrl":"10.1016/j.jbankfin.2024.107374","url":null,"abstract":"<div><div>We study the impact of macroeconomic and financial uncertainties on cross-sectional returns in the Chinese stock market. We find that stocks with a lower macroeconomic uncertainty beta generate higher excess returns, implying that macroeconomic uncertainty commands a negative risk premium. Meanwhile, the exposure to financial uncertainty is not priced in stock returns. Unlike financial uncertainty, macroeconomic uncertainty is a state variable that predicts a deterioration in economic activity, suggesting that investors require a premium for holding stocks that correlate negatively with it.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107374"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102387","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
Short selling and product market competition 卖空与产品市场竞争
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107335
Rafael Matta , Sergio H. Rocha , Paulo Vaz
{"title":"Short selling and product market competition","authors":"Rafael Matta ,&nbsp;Sergio H. Rocha ,&nbsp;Paulo Vaz","doi":"10.1016/j.jbankfin.2024.107335","DOIUrl":"10.1016/j.jbankfin.2024.107335","url":null,"abstract":"<div><div>We empirically investigate how short selling affects firms’ product market performance via a managerial monitoring channel. Using both historical data and exogenous shocks to short selling, we find robust evidence that short interest negatively impacts market shares, especially in large firms. Our Reg SHO results are stronger in concentrated industries and industries where firms compete in strategic substitutes. Further tests show that these effects are driven by low <em>ex-ante</em> stock price informativeness. The evidence suggests that the interaction between market power and price opacity generates incentives for overproduction, which short selling attenuates. Our results support policies that facilitate price discovery in the presence of market power.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107335"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102356","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
Information spillovers and cross monitoring between the stock market and loan market 股票市场与贷款市场之间的信息溢出与交叉监测
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107351
Matthew T. Billett , Fangzhou Liu , Xuan Tian
{"title":"Information spillovers and cross monitoring between the stock market and loan market","authors":"Matthew T. Billett ,&nbsp;Fangzhou Liu ,&nbsp;Xuan Tian","doi":"10.1016/j.jbankfin.2024.107351","DOIUrl":"10.1016/j.jbankfin.2024.107351","url":null,"abstract":"<div><div>We explore information spillovers and cross-monitoring between the stock and loan markets, focusing on the roles of short sellers and banks. Using Regulation SHO that directly affects short-selling constraints in the stock market but is exogenous to the loan market, we find that only those firms without bank monitors exhibit significant stock price declines upon the announcement of SHO. We also document that while short interest increases following SHO, it increases far less for firms with bank monitors. Using bank and lending relationship characteristics, we find SHO returns increase in the bank's ability and incentive to monitor. Our exploration of equity ownership structure reveals that the presence of block holders and dedicated owners has little to no effect on our results, suggesting that bank monitors complement shareholder monitoring efforts.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107351"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102391","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
Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market 线性有理平方根模型中的无跨越随机波动：来自国债市场的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107354
Jorge Wolfgang Hansen
{"title":"Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market","authors":"Jorge Wolfgang Hansen","doi":"10.1016/j.jbankfin.2024.107354","DOIUrl":"10.1016/j.jbankfin.2024.107354","url":null,"abstract":"<div><div>This study examines the ability of the linear-rational square-root model to simultaneously capture cross-sectional and time-series dynamics of bond yields and their variances. The preferred model specification comprises five factors, two of which are not spanned by the yield curve, introducing unspanned stochastic volatility (USV). This specification provides a close in-sample fit to yields and yield variances, emphasizing the need for USV. Out-of-sample testing demonstrates low variance forecast errors. The specification provides evidence of USV in conditional yield variance and bond risk premia, linked to macroeconomic uncertainty.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107354"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102348","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
Optimal delegation contract with portfolio risk 考虑投资组合风险的最优委托契约
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107357
Jiliang Sheng , Yanyan Yang , Jun Yang
{"title":"Optimal delegation contract with portfolio risk","authors":"Jiliang Sheng ,&nbsp;Yanyan Yang ,&nbsp;Jun Yang","doi":"10.1016/j.jbankfin.2024.107357","DOIUrl":"10.1016/j.jbankfin.2024.107357","url":null,"abstract":"<div><div>Conventional linear benchmarked contracts tend to cause excessive pegging to the benchmark and thus price distortion of stocks in the benchmark. This paper studies the optimal delegation contract when there is principal-agent friction. Specifically, it explores the impacts of incorporating the risk of invested portfolio in the contract on optimal strategies of the principal and the agent as well as on equilibrium asset prices. When agency friction is severe, the optimal contract provides rewards for portfolio risk to improve risk sharing and grants compensation for index return to propel the agent to deviate from pegging to index. In equilibrium, the principal conducts index investment while the agent invests only in individual risky assets, and price distortion caused by agency friction is mitigated.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107357"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102358","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
A factor model for the cross-section of country equity risk premia 国家股票风险溢价横截面的因子模型
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107373
Christian Fieberg , Gerrit Liedtke , Adam Zaremba , Nusret Cakici
{"title":"A factor model for the cross-section of country equity risk premia","authors":"Christian Fieberg ,&nbsp;Gerrit Liedtke ,&nbsp;Adam Zaremba ,&nbsp;Nusret Cakici","doi":"10.1016/j.jbankfin.2024.107373","DOIUrl":"10.1016/j.jbankfin.2024.107373","url":null,"abstract":"<div><div>We employ instrumented principal component analysis (IPCA) to provide a new factor model for the cross-section of country equity risk premia. Using data from 71 equity markets, we identify latent factors and condition betas on a comprehensive set of accounting and market characteristics from the finance literature. A four-factor conditional asset pricing model best captures the variation in country returns, beating prominent factor models. IPCA’s superior performance stems primarily from its enhanced ability to predict emerging market returns while also generalizing well to developed markets. Among the global “signal zoo”, size, momentum, volatility, political risk, and valuation are the most important predictors of return differences.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107373"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102371","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
Conflict of interest to declare? A study of individual-controlled funds in China 有利益冲突要申报吗？中国个人控制基金研究
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jbankfin.2024.107376
Zhuang Zhuang , Carl Hsin-han Shen , Juan Yao
{"title":"Conflict of interest to declare? A study of individual-controlled funds in China","authors":"Zhuang Zhuang ,&nbsp;Carl Hsin-han Shen ,&nbsp;Juan Yao","doi":"10.1016/j.jbankfin.2024.107376","DOIUrl":"10.1016/j.jbankfin.2024.107376","url":null,"abstract":"<div><div>China's financial deregulation has led to the rise of individual-controlled fund management companies, where the largest shareholder is a person rather than an institution. This study examines these mutual funds, known as “individual-controlled funds” (ICFs), particularly from the perspective of potential conflict of interest. ICFs are more likely to prioritize performance given there is limited interference in their activities by affiliated institutions. They consistently outperform peers by 0.7 % per month, after accounting for fund characteristics. This outperformance is more pronounced when the largest individual owner has greater influence in the fund company. We also document the lower propensity of ICFs to engage in misconduct. Our findings demonstrate that minimizing conflicts of interest benefits performance in the mutual fund industry.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"171 ","pages":"Article 107376"},"PeriodicalIF":3.6,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143102372","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信