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
A stochastic model for predicting the response time of green vs brown stocks to climate change news risk 预测绿色和棕色树木对气候变化新闻风险响应时间的随机模型
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-06-24 DOI: 10.1016/j.jbankfin.2025.107507
Hany Fahmy
{"title":"A stochastic model for predicting the response time of green vs brown stocks to climate change news risk","authors":"Hany Fahmy","doi":"10.1016/j.jbankfin.2025.107507","DOIUrl":"10.1016/j.jbankfin.2025.107507","url":null,"abstract":"<div><div>We model the dynamic evolution of the attention process over the duration of climate change news events as a Brownian motion with an absorbing barrier, where attention to the news event ceases. In this framework, the duration of the underlying news event is a random variable whose probability distribution is the Inverse Gaussian (IG). We show that the IG distribution of news duration can be used to predict the response time of asset prices to climate news risk. We test the empirical validity of our model by constructing two novel climate news duration data sets: a daily duration and an hour-by-hour intra-news duration. At the daily frequency, our model predicts the response time of green versus brown firms’ stock prices to climate news risk. We demonstrate how this response time can enhance the precision of conventional risk management statistics, e.g., Value at Risk and expected shortfall, and in consequence improves the efficiency of managing firms’ exposures to such risk. At the high frequency, we extend the autoregressive conditional duration (ACD) model and show that, in an IG-ACD-GARCH framework, climate change news arrivals contribute to the volatility of green (but not brown) firms’ returns. This finding is attributed to public and investors’ concerns about climate change or to their belief that climate transition policies are ineffective in combating climate change.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107507"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144535973","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 macro-financial cycles and spillovers 全球宏观金融周期及其溢出效应
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-07-02 DOI: 10.1016/j.jbankfin.2025.107512
Jongrim Ha , M. Ayhan Kose , Christopher Otrok , Eswar S. Prasad
{"title":"Global macro-financial cycles and spillovers","authors":"Jongrim Ha ,&nbsp;M. Ayhan Kose ,&nbsp;Christopher Otrok ,&nbsp;Eswar S. Prasad","doi":"10.1016/j.jbankfin.2025.107512","DOIUrl":"10.1016/j.jbankfin.2025.107512","url":null,"abstract":"<div><div>We develop a new dynamic factor model to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers from financial variables. We consider cycles in macroeconomic aggregates (output, consumption, and investment) and financial variables (equity and house prices, and interest rates). The global macro factor plays a major role in explaining G-7 business cycles, but there are also discernible spillovers from equity and house price shocks onto macroeconomic aggregates, at least over the past two decades, accounting for up to 17 % of the variation in global business cycle fluctuations. These spillovers operate mainly through the global macro factor rather than the country-specific macro factors (i.e., these spillovers affect business cycles in all G-7 economies), and are stronger for output and investment fluctuations and more prominent in the period leading up to and following the global financial crisis. We find weaker evidence of spillovers from macroeconomic cycles to financial variables, perhaps reflecting the predictive power of global financial markets.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107512"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144614604","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
Social connections and bank deposits 社会关系和银行存款
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-07-18 DOI: 10.1016/j.jbankfin.2025.107506
Sean Flynn , Jing Wang
{"title":"Social connections and bank deposits","authors":"Sean Flynn ,&nbsp;Jing Wang","doi":"10.1016/j.jbankfin.2025.107506","DOIUrl":"10.1016/j.jbankfin.2025.107506","url":null,"abstract":"<div><div>We show that household social connections transmit shocks that influence bank deposits. We find that counties experience an increase in bank deposits when they are more socially connected to counties affected by natural disasters. This effect is not driven by physical proximity, large disasters that attract significant media coverage, or other cross-county channels, including multimarket bank branch networks, population migration, or economic connections. Banks that collect deposits in highly socially-connected counties experience high deposit volatility, but geographic diversification reduces the volatility associated with depositor social connectedness.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107506"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686408","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
Newswire tone-overlay commodity portfolios Newswire tone-overlay商品投资组合
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-06-21 DOI: 10.1016/j.jbankfin.2025.107501
Adrian Fernandez-Perez , Ana-Maria Fuertes , Joëlle Miffre , Nan Zhao
{"title":"Newswire tone-overlay commodity portfolios","authors":"Adrian Fernandez-Perez ,&nbsp;Ana-Maria Fuertes ,&nbsp;Joëlle Miffre ,&nbsp;Nan Zhao","doi":"10.1016/j.jbankfin.2025.107501","DOIUrl":"10.1016/j.jbankfin.2025.107501","url":null,"abstract":"<div><div>This paper introduces the tone-overlay framework for adjusting traditional commodity signals based on the level of salient optimism or pessimism in commodity newswires. By implementing the novel tone-overlay allocation strategy on 26 commodities using traditional allocation signals, we demonstrate that the resulting long-short portfolios yield substantial performance gains compared to the corresponding plain-vanilla traditional portfolios. Our findings suggest that newswire tone provides short-term predictive power for commodity futures returns, beyond well-known commodity characteristics. The tone-overlay portfolios harness a temporary mispricing that reflects an overreaction of commodity futures prices to commodity-specific newswire tone. The outperformance of the tone overlay strengthens with the salience of the newswire tone, consistent with theories of limited investor attention.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107501"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144523092","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 foreign exchange volatility, ambiguity, and currency carry trades 全球外汇波动、模糊性和货币套息交易
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-07-04 DOI: 10.1016/j.jbankfin.2025.107508
Takao Asano , Xiaojing Cai , Ryuta Sakemoto
{"title":"Global foreign exchange volatility, ambiguity, and currency carry trades","authors":"Takao Asano ,&nbsp;Xiaojing Cai ,&nbsp;Ryuta Sakemoto","doi":"10.1016/j.jbankfin.2025.107508","DOIUrl":"10.1016/j.jbankfin.2025.107508","url":null,"abstract":"<div><div>This study investigates the relationships between currency portfolios and market conditions. We incorporate information on cross-sectional foreign exchange (FX) volatility and ambiguity to determine FX market regimes. Unlike previous studies, we find that high FX volatility leads to higher currency carry returns only when FX ambiguity is high, suggesting that investors avoid making trading decisions during these periods. As a result, the unwinding of currency carry trades, which is usually associated with high FX volatility and declining in carry trade returns, does not occur. We also observe that this pattern does not emerge in other currency portfolios.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107508"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144580589","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
Hedge fund activism and loan loss provisioning in U.S. banks 对冲基金的激进主义和美国银行的贷款损失拨备
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-07-16 DOI: 10.1016/j.jbankfin.2025.107519
Dmytro Holod , Yuriy Kitsul , Gӧkhan Torna
{"title":"Hedge fund activism and loan loss provisioning in U.S. banks","authors":"Dmytro Holod ,&nbsp;Yuriy Kitsul ,&nbsp;Gӧkhan Torna","doi":"10.1016/j.jbankfin.2025.107519","DOIUrl":"10.1016/j.jbankfin.2025.107519","url":null,"abstract":"<div><div>In this study, we explore the hedge fund activist (HFA) influence on managerial decisions in the opaque banking industry. Focusing on loan loss provisions (LLPs), an accounting item that is subject to considerable managerial discretion as well as scrutiny from various regulatory agencies, we find that HFAs alleviate the agency problems associated with bank loan loss provisioning decisions. The findings show that HFA influence leads to a substantial reduction in overstatements, but not understatements, of LLPs at target banks. This results in a prompt increase in bottom-line profitability and stock returns, while pointing to no appreciable change in bank risk. We conclude that the disciplinary effect of HFAs contributes to shareholder value by leading to a reduction in excessive loan loss provisioning consistent with a realignment of LLP decisions with target bank shareholders’ interests.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107519"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144711425","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
Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model 大动态协方差矩阵与异质自回归模型的投资组合选择
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-07-02 DOI: 10.1016/j.jbankfin.2025.107505
Igor Honig, Felix Kircher
{"title":"Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model","authors":"Igor Honig,&nbsp;Felix Kircher","doi":"10.1016/j.jbankfin.2025.107505","DOIUrl":"10.1016/j.jbankfin.2025.107505","url":null,"abstract":"<div><div>We propose a novel framework for modeling large dynamic covariance matrices via heterogeneous autoregressive volatility and correlation components. Our model provides direct forecasts of monthly covariance matrices and is flexible, parsimonious and simple to estimate using standard least squares methods. We address the problem of parameter estimation risks by employing nonlinear shrinkage methods, making our framework applicable in high dimensions. We perform a comprehensive empirical out-of-sample analysis and find significant statistical and economic improvements over common benchmark models. For minimum variance portfolios with over a thousand stocks, the annualized portfolio standard deviation improves to 8.92% compared to 9.75–10.43% for DCC-type models.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107505"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144597025","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
Social media-based attention and the cross-section of cryptocurrency returns 基于社交媒体的关注和加密货币回报的横截面
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-07-19 DOI: 10.1016/j.jbankfin.2025.107518
Arnaud T. Maître, Nikolay Pugachyov, Florian Weigert
{"title":"Social media-based attention and the cross-section of cryptocurrency returns","authors":"Arnaud T. Maître,&nbsp;Nikolay Pugachyov,&nbsp;Florian Weigert","doi":"10.1016/j.jbankfin.2025.107518","DOIUrl":"10.1016/j.jbankfin.2025.107518","url":null,"abstract":"<div><div>This paper investigates how investors’ abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our results reveal that abnormal attention is positively associated with contemporaneous and one-day ahead crypto performance. Among the different Twitter tweets, return predictability arises due to <em>Ticker</em>-tweets from investors, but not due to tweets from the cryptocurrency channel. These <em>Official</em>-tweets, however, are able to forecast technological innovations on the blockchain.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107518"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144686411","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 much do boards learn about CEO ability in crises? Evidence from CEO turnover 董事会对CEO在危机中的能力了解多少？来自CEO离职的证据
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-07-01 DOI: 10.1016/j.jbankfin.2025.107513
Peter Schäfer
{"title":"How much do boards learn about CEO ability in crises? Evidence from CEO turnover","authors":"Peter Schäfer","doi":"10.1016/j.jbankfin.2025.107513","DOIUrl":"10.1016/j.jbankfin.2025.107513","url":null,"abstract":"<div><div>I present evidence from CEO turnover decisions suggesting that boards update their beliefs about CEO ability more in industry crises than in booms. Consistent with predictions from an extended learning model that allows for increased productivity of CEO ability in crises, I find that the turnover-performance relation is weaker the more often the board has observed the CEO in past crises, and crisis performance reduces future dismissal risks more than boom performance. These effects persist after controlling for CEO entrenchment and firm effects, and they are stronger for more severe and recent crises. Employing a proxy of CEO ability, I also find that the dismissal risk of weak-ability CEOs is highest in crises. The results help refine our models of how boards learn about CEO ability and, in particular, help explain the turnover puzzle, i.e., why boards are more likely to dismiss CEOs in industry downturns: rather than misattributing poor industry conditions to CEOs, boards view performance in crises as a more informative signal of CEO ability than performance in booms.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107513"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144703899","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
Board declassification and bargaining power 董事会解密和议价能力
IF 3.6 2区 经济学
Journal of Banking & Finance Pub Date : 2025-09-01 Epub Date: 2025-06-04 DOI: 10.1016/j.jbankfin.2025.107490
Miroslava Straska, H. Gregory Waller
{"title":"Board declassification and bargaining power","authors":"Miroslava Straska,&nbsp;H. Gregory Waller","doi":"10.1016/j.jbankfin.2025.107490","DOIUrl":"10.1016/j.jbankfin.2025.107490","url":null,"abstract":"<div><div>We examine the relations between recent board declassifications, takeover activity and takeover gains over the period 2003–2014. We report that firms that declassified their boards in the previous five years are more likely to be a takeover target compared to firms whose boards remain classified. We also report that, once targeted, these firms receive lower takeover premiums and realize lower abnormal returns around the announcement of the transaction. Finally, we find that these firms obtain a smaller share of abnormal dollar merger gains. These results are consistent with the interpretation that firms that declassified their boards have lost some bargaining power in negotiating M&amp;A transactions.</div></div>","PeriodicalId":48460,"journal":{"name":"Journal of Banking & Finance","volume":"178 ","pages":"Article 107490"},"PeriodicalIF":3.6,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144489558","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
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
小红书