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Journal of Financial Intermediation最新文献

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The agency costs of tranching: Evidence from RMBS 培训的代理成本：来自RMB S的证据
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-04-01 DOI: 10.1016/j.jfi.2023.101030
Sanket Korgaonkar
{"title":"The agency costs of tranching: Evidence from RMBS","authors":"Sanket Korgaonkar","doi":"10.1016/j.jfi.2023.101030","DOIUrl":"10.1016/j.jfi.2023.101030","url":null,"abstract":"<div><p>This paper documents the agency costs resulting from the deeper tranching of subprime residential mortgage pools. Mortgage servicers are less likely to renegotiate delinquent loans collateralizing a greater number and variety of tranches. We find that an interquartile increase in tranching reduces mortgage servicers’ probability of loan renegotiation by 14% relative to the mean. This effect is concentrated in mortgages with greater ambiguity surrounding the loan value maximizing action. Overall, our results support the notion that tranching worsens agency frictions by increasing coordination costs among investors and impeding their monitoring of the agent.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46264054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 stability and the price of loan commitments 银行稳定性与贷款承诺价格
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-04-01 DOI: 10.1016/j.jfi.2023.101027
Asad Rauf
{"title":"Bank stability and the price of loan commitments","authors":"Asad Rauf","doi":"10.1016/j.jfi.2023.101027","DOIUrl":"https://doi.org/10.1016/j.jfi.2023.101027","url":null,"abstract":"<div><p>Firms insure themselves from liquidity shocks by contracting on credit lines from banks. I document novel empirical evidence on how the risk of contract nonperformance by banks is priced. Firms pay a higher price for loan commitments from safer banks. A one standard deviation increase in the cross-sectional mean of bank capital increases the commitment fees by 5%. To investigate a potential causal effect of lender stability on commitment fees, I exploit exogenous variation in the market value of banks’ assets from natural disasters. The sensitivity of the fees is higher for firms with higher short-term liabilities and higher income uncertainty.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50187028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 role of culture in firm-bank matching 文化在企业-银行匹配中的作用
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2023.101018
Antonio Accetturo , Giorgia Barboni , Michele Cascarano , Emilia Garcia-Appendini
{"title":"The role of culture in firm-bank matching","authors":"Antonio Accetturo ,&nbsp;Giorgia Barboni ,&nbsp;Michele Cascarano ,&nbsp;Emilia Garcia-Appendini","doi":"10.1016/j.jfi.2023.101018","DOIUrl":"10.1016/j.jfi.2023.101018","url":null,"abstract":"<div><p>We assemble a unique dataset containing population-level information on loan applications in a region hosting two cultural groups to study the role of culture in firm borrowing decisions. We find that firms are more likely to apply for loans from culturally close banks. This effect is stronger for opaque firms, but not for less performing firms, indicating that firms do not expect preferential treatment from same-culture banks. Loan applications to culturally distant banks increase sharply with firms’ size and age, suggesting a role of information asymmetry in firm-bank matching. In contrast, we find no effect of cultural proximity on loan supply. Overall, our results show that demand-side factors play a key role in the formation of same-culture lending relationships.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44108089","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 3
Inefficient liquidity creation 流动性创造效率低下
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2022.100996
Stephan Luck , Paul Schempp
{"title":"Inefficient liquidity creation","authors":"Stephan Luck ,&nbsp;Paul Schempp","doi":"10.1016/j.jfi.2022.100996","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100996","url":null,"abstract":"<div><p>We present a model in which intermediaries create liquidity by issuing safe debt. Two types of intermediaries emerge: Traditional banks that create liquidity by issuing equity and holding assets to maturity, and market-based intermediaries that create liquidity by selling assets in fire sales in downturns. We show that the reliance on market-based intermediation is necessarily too high, but liquidity creation is not. It can also be too low as the endogenous fire-sale risk can push liquidity creation below its optimum. We argue that standard capital or liquidity regulation are ineffective, and optimal macroprudential regulation should instead target market-based intermediation.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50180844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Cost of monitoring and risk taking in the money market funds industry 货币市场基金行业的监控成本和风险承担
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2022.101016
Stefano Lugo
{"title":"Cost of monitoring and risk taking in the money market funds industry","authors":"Stefano Lugo","doi":"10.1016/j.jfi.2022.101016","DOIUrl":"10.1016/j.jfi.2022.101016","url":null,"abstract":"<div><p>Increasing the cost associated with gathering information can hamper the monitoring activity of the market even when information remains public. Using the 2015 US money market funds (MMFs) reform as a quasi-natural experiment, I find a positive effect of removing information requirements over credit ratings on the allocation by MMFs toward securities rated as second tier. The effect is driven by monitored MMFs catering to retail investors and by monitored MMFs that do not voluntarily report credit ratings after the reform. The verfied increase in the relative demand by MMFs for second tier securities is associated with a decrease in the spread paid at issuance by second tier commercial paper.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48892831","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Banks, maturity transformation, and monetary policy 银行、到期日转换和货币政策
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2022.101011
Pascal Paul
{"title":"Banks, maturity transformation, and monetary policy","authors":"Pascal Paul","doi":"10.1016/j.jfi.2022.101011","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.101011","url":null,"abstract":"<div><p>Banks engage in maturity transformation and the term premium compensates them for bearing the associated interest rate risk<span>. Consistent with this view, I show that banks’ net interest margins and term premia have comoved in the United States over the last decades. On monetary policy announcement days, bank equity falls more sharply than nonbank equity following an increase in expected future short-term rates, but also responds more positively if term premia increase. These effects are reflected in bank cash-flows and amplified for banks with a larger maturity mismatch. The results reveal that banks are not immune to interest rate risk.</span></p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50181352","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 do mutual fund managers’ private portfolios tell us about their skills? 共同基金经理的私人投资组合告诉我们他们的技能是什么？
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2022.100999
Markus Ibert
{"title":"What do mutual fund managers’ private portfolios tell us about their skills?","authors":"Markus Ibert","doi":"10.1016/j.jfi.2022.100999","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100999","url":null,"abstract":"<div><p>I study a registry-based dataset of Swedish mutual fund managers’ personal portfolios. The majority of managers do not invest personal wealth into the very same funds they professionally manage. The managers who do invest personal money into their funds subsequently outperform the managers who do not. The results suggest that fund managers, in contrast to regular investors, are certain about their ability to generate an abnormal return, or lack thereof, and invest their personal wealth accordingly.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50181411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Do prime brokers intermediate capital? 主要经纪商是中间资本吗？
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2022.101004
Andrew J. Sinclair
{"title":"Do prime brokers intermediate capital?","authors":"Andrew J. Sinclair","doi":"10.1016/j.jfi.2022.101004","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.101004","url":null,"abstract":"<div><p>Prime brokers play an important role in intermediating arbitrage capital to hedge funds. A fund’s peer-group ranking, relative to funds that share the same prime broker, significantly affects how investors respond to its past performance. I decompose the standard performance-flow relationship into two components: (1) flows that respond to overall performance rank, and (2) flows that respond to relative (within prime broker) performance rank. Strong <em>relative</em> rank drives fund in-flows, while poor <em>overall</em> rank drives out-flows. These results suggest that prime brokers intermediate about 40% of the standard performance-flow relationship.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50181353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Firm R&D and financial analysis: How do they interact? 企业研发和财务分析：它们是如何相互作用的？
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2022.101002
Jim Goldman , Joel Peress
{"title":"Firm R&D and financial analysis: How do they interact?","authors":"Jim Goldman ,&nbsp;Joel Peress","doi":"10.1016/j.jfi.2022.101002","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.101002","url":null,"abstract":"<div><p>This paper demonstrates, theoretically and empirically, that firms’ research and development (R&amp;D) efforts and investors’ analyses of their prospects are mutually reinforcing. Entrepreneurs attempt more research when financiers are better informed about projects’ profitability because they expect financiers to provide more funding to successful projects. Conversely, financiers collect more information about projects when entrepreneurs undertake more R&amp;D because the opportunity cost of missing out on successful projects is then higher. Two natural experiments confirm that this interaction occurs and suggest that it contributes to about one third of the total effect of a policy designed to stimulate R&amp;D. Overall, the analysis suggests that policies aimed at promoting R&amp;D – such as research subsidies or tax breaks – have a multiplier effect owing to the induced improvement in capital efficiency. As a result, those policies can be rendered more effective by coupling them with other policies designed to increase capital efficiency. The feedback effect that we document also helps explaining why innovative ecosystems such as that in the Silicon Valley are challenging to set up.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50181351","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 disciplining effect of supervisory scrutiny in the EU-wide stress test 欧盟范围内压力测试中监督审查的惩戒作用
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2023-01-01 DOI: 10.1016/j.jfi.2022.101015
Christoffer Kok , Carola Müller , Steven Ongena , Cosimo Pancaro
{"title":"The disciplining effect of supervisory scrutiny in the EU-wide stress test","authors":"Christoffer Kok ,&nbsp;Carola Müller ,&nbsp;Steven Ongena ,&nbsp;Cosimo Pancaro","doi":"10.1016/j.jfi.2022.101015","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.101015","url":null,"abstract":"<div><p>Relying on confidential supervisory data related to the 2016 EU-wide stress test, this paper presents novel empirical evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We find that banks that participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this exercise. Relying on new metrics for supervisory scrutiny that measure the quantity, potential impact, and duration of interactions between banks and supervisors during the stress test, we find that the disciplining effect is stronger for banks subject to more intrusive supervisory scrutiny during the exercise. We also find that a strong risk management culture is a prerequisite for the supervisory scrutiny to be effective. Finally, we show that a similar disciplining effect is not exerted neither by higher capital charges nor by more transparency and related market discipline induced by the stress test.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50181349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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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