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Is idiosyncratic volatility related to returns? Evidence from a subset of firms with quality idiosyncratic volatility estimates J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-24 Mikael Bergbrant, Haimanot Kassa
The empirical relation between idiosyncratic volatility (IVOL) and returns is mixed. Ang et al. (2006, 2009) report a negative relation using lagged realized IVOL, but Fu (2009) shows that this measure is a poor proxy for expectations and proposes using forecasts from EGARCH models which results in a positive relation. However, recent studies show that this positive relation disappears when using out-of-sample
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Interest arbitrage under capital controls: Evidence from reported entrepôt trades J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-27 Jiafei Hu, Haishan Yuan
Capital controls segment the offshore credit market of Chinese renminbi from the onshore market. Using a novel administrative data set, we provide evidence that firms arbitrage the onshore-offshore interest differentials using bank-intermediated “entrepôt trades,” which supposedly re-export imports with little or no processing. Onshore-offshore interest differentials drive renminbi inflows from entrepôt
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Momentum life cycle, revisited J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-19 Tsung-Yu Chen, Pin-Huang Chou, Chia-Hsun Hsieh, S. Ghon Rhee
The momentum life cycle (MLC) hypothesis proposed by Lee and Swaminathan (2000) is spurious because it is largely driven by multiplying two widely documented effects on momentum and turnover. After controlling for these two effects, what remains is a negative return pattern for late-stage momentum, mostly driven by the higher returns of low-turnover losers. Although the higher returns of low-turnover
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The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-24 Yu-Lun Chen, Ke Xu
In this study, we leverage various price discovery measurements to investigate whether and how the addition of the Chinese yuan in Special Drawing Right (SDR) affected price discovery in onshore (USD/CNY) and offshore (USD/CNH) markets. The results show that the less regulated offshore exchange rates contribute more to price discovery than the onshore rates do. Including the yuan in SDR does not change
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Liquidity and the cross-section of international stock returns J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-24 Nusret Cakici, Adam Zaremba
We perform a comprehensive investigation of the illiquidity premium in international stock markets. We examine several established liquidity measures in 45 countries for the years 1990–2020. Our findings provide convincing evidence that liquidity pricing depends strongly on firm size. Although the premium is globally present, it exists only among microcap stocks, which have negligible economic significance
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CEO gender and employee relations: Evidence from labor lawsuits J. Bank. Financ. (IF 2.269) Pub Date : 2021-04-01 Chelsea Liu
This study investigates the relationship between the gender of chief executive officers (CEOs) and firms’ employee relations, as proxied by labor lawsuits. Drawing on gender socialization, upper echelons, and stakeholder theories, I hypothesize that firms with female CEOs have superior employee relations. Using a hand-collected sample of 11,970 labor lawsuits filed against Standard & Poor's 1500 firms
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Insider trading and the legal expertise of corporate executives J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-16 Chao Jiang, M. Babajide Wintoki, Yaoyi Xi
We investigate if prior professional legal education either restrains or increases the extent to which the insider trades of company executives and directors are informed. We show that executives and directors with legal expertise (lawyer-insiders) earn significantly lower abnormal returns than non-lawyer-insiders when they purchase their own company's shares. Purchases by lawyer-insiders are associated
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Housing bust, bank lending & employment: Evidence from multimarket banks J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-12 David Glancy
Using geographic variation in bank lending, I study how bank real estate losses affected the supply of credit and employment during the Great Recession. Banks exposed to distressed housing markets cut mortgage and small business lending relative to other banks in the same county. This lending contraction had real effects, as counties whose banks were exposed to adverse shocks in other markets suffered
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The nexus between loan portfolio size and volatility: Does bank capital regulation matter? J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-18 Franziska Bremus, Melina Ludolph
This paper analyzes the effects of bank capital regulation on the link between bank size and volatility. Using bank-level data for 27 advanced economies over the 2000–2014 period, we estimate a power law that relates the volume of a bank’s loan portfolio to the volatility of loan growth. Our analysis reveals, first, that more stringent capital regulation weakens the size-volatility nexus. Hence, in
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Regulator supervisory power and bank loan contracting J. Bank. Financ. (IF 2.269) Pub Date : 2021-01-26 Zhongda He, Guannan Qiao, Le Zhang, Wenrui Zhang
Using a sample from 38 economies, we examine the relation between bank regulators’ supervisory power and loan spreads. We find that loans issued by banks in economies with more powerful supervisors have higher spreads. The positive association is more pronounced when firms have lower credit quality, when the relationships between firms and banks are less established, when syndicate loans involve fewer
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Systemic risk allocation using the asymptotic marginal expected shortfall J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-17 Xiao Qin, Chen Zhou
This paper defines asymptotic marginal expected shortfall (AMES) for banks within a financial system and provides corresponding estimation method based on multivariate extreme value theory. The estimation method does not assume a specific dependence structure among bank equity returns. Both theoretical AMES and the estimator possess additive property and thus can serve as a tool to allocate system-wide
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Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-11 Dan Gabriel Anghel
Tests of the relative performance of multiple forecasting models are sensitive to how the set of alternatives is defined. Evaluating one model against a particular set may show that it has superior predictive ability. However, changing the number or type of alternatives in the set may demonstrate otherwise. This paper focuses on forecasting models based on technical analysis and analyzes how much data
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How stable are corporate capital structures? International evidence J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-10 Wen He, Maggie Rong Hu, Lin Mi, Jin Yu
Using a large sample of firms from 43 markets, we find significant time-series variation in firms’ leverage ratios around the world. Industry median leverage ratios and aggregate leverage ratios also change substantially over time. Relative to actual leverage ratios, target leverage ratios estimated from the time-varying target models are much more stable. Variance decomposition shows that leverage
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Cooperative Lenders and the Performance of Small Business Loans J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-24 Miwako Nitani, Nicolas Legendre
This study reports that small business loans advanced by cooperative lenders have a significantly lower probability of default than those disbursed by mainstream banks—at least for the first four years post disbursement, during which default costs are highest. Default rates are particularly low among loans to younger, and, to an extent, smaller, firms; and loans to firms that had experienced significant
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Wealth heterogeneity, information acquisition and equity home bias: Evidence from U.S. household surveys of consumer finance J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-08 Ronaldo Carpio, Meixin Guo, Yuan Liu, Ju Hyun Pyun
The well-known equity home bias has two components: an extensive and intensive margin. Using data on direct stock holdings of U.S. households, we find that the decision to participate in foreign stock markets depends on investor wealth, with richer investors more likely to participate (the extensive margin). We document a new finding: as investor wealth increases, the portfolio share invested in foreign
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Portfolio selection with parsimonious higher comoments estimation J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-14 Nathan Lassance, Frédéric Vrins
Large investment universes are usually fatal to portfolio strategies optimizing higher moments because of computational and estimation issues resulting from the number of parameters involved. In this paper, we introduce a parsimonious method to estimate higher moments that consists of projecting asset returns onto a small set of maximally independent factors found via independent component analysis
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Demand shock, speculative beta, and asset prices: Evidence from the Shanghai-Hong Kong Stock Connect program J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-08 Clark Liu, Shujing Wang, K.C. John Wei
Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with similar firm characteristics, especially for stocks with higher market beta. The beta effect on stock prices
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Risk-sensitive Basel regulations and firms’ access to credit: Direct and indirect effects J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-09 Balagopal Gopalakrishnan, Joshy Jacob, Sanket Mohapatra
This paper examines the impact of risk-sensitive Basel regulations on debt financing of firms around the world. It investigates how firms cope with the impact through adjustments to their financing sources and capital investments. We find that the implementation of Basel II regulations is associated with reduced credit availability for lower-rated firms. Such firms mitigate the shortage in bank credit
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The q5 model and its consistency with the ICAPM J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-17 Qi Lin
In this paper, we test the consistency of the q5 model of Hou et al. (2019, 2020) with Merton’s (1973)) Intertemporal CAPM (ICAPM) framework. We find that all but one factors in the q5 model carry significantly positive covariance risk prices. The profitability factor, however, has little explanatory power for the cross-section of expected returns. Further analysis reveals that the investment factor
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Banks’ complexity-risk nexus and the role of regulation J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-17 Natalya Martynova, Ursula Vogel
We investigate the relationship between bank complexity and bank risk-taking using German banking data over the period 2005-2017. We find that more complex banking organizations tend to take on more risk, but that this complexity-risk nexus decreases over time. We study how regulatory tightenings inherent in this period, and addressing systemically important banks (SIBs) in general and complexity more
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Positive Stock Information In Out-Of-The-Money Option Prices J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-17 Konstantinos Gkionis, Alexandros Kostakis, George Skiadopoulos, Przemyslaw S. Stilger
We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-the-money (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return’s distribution, can embed positive information regarding the underlying stock. A long-only portfolio of stocks with the highest RNS values yields
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Global syndicated lending during the COVID-19 pandemic J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-16 Iftekhar Hasan, Panagiotis N. Politsidis, Zenu Sharma
This paper examines the pricing of global syndicated loans during the COVID-19 pandemic. We find that loan spreads rise by over 11 basis points in response to a one standard deviation increase the lender's exposure to COVID-19 and over 5 basis points for an equivalent increase in the borrower's exposure. This renders firms subject to a burden of about USD 5.16 million and USD 2.37 million respectively
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No-Arbitrage pricing of GDP-Linked bonds J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-07 Fernando Eguren Martin, Andrew Meldrum, Wen Yan
We develop a novel term-structure model for pricing GDP-linked bonds, hypothetical securities with cash-flows indexed to the level of U.S. GDP. For this purpose, we rely on a term-structure model of equity yields estimated using the prices of dividend swaps, which we assume span GDP growth. Our approach provides a novel way of estimating the relative cost of conventional and GDP-linked bonds, as well
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Who goes green: Reducing mutual fund emissions and its consequences J. Bank. Financ. (IF 2.269) Pub Date : 2021-03-03 Jacquelyn E. Humphrey, Yong Li
Ameliorating global warming has been touted as one of the most pressing issues of our time. We investigate whether there are mutual fund families that purposefully decrease their portfolios’ exposure to greenhouse gas emissions, and find families that sign the Principles for Responsible Investment (PRI) have significantly lower portfolio emissions after signing the initiative than do non-signatory
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Timing CEO turnovers: Evidence from delegation in mergers and acquisitions J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-23 Daniel Greene, Jared Smith
We examine the role of delegation in predicting CEO successions. Using a novel proxy for delegation in mergers and acquisitions, we find that overall CEO turnover rates are about one third higher following deals where the CEO delegates to a senior manager versus deals with no observable delegation. The delegation-turnover relation is strongest when deals are delegated to heirs apparent, the CEO is
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Local logit regression for loan recovery rate J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-19 Nithi Sopitpongstorn, Param Silvapulle, Jiti Gao, Jean-Pierre Fenech
This is the first paper to propose a flexible local logit regression for defaulted loan recoveries that lie in [0,1]. Via a simulation study, we demonstrate that the proposed model is robust to nonlinearity, and non-normality of errors. Applied to Moody’s dataset, the local logit model uncovers the intrinsic nonlinear relationship between loan recoveries and covariates, which include loan/borrower
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Short-term reversals, short-term momentum, and news-driven trading activity J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-04 I-Hsuan Ethan Chiang, Chris Kirby, Ziye Zoe Nie
We find no evidence of monthly return reversals for the top quintile of small- and large-cap stocks ranked by turnover. Indeed, stocks in the top decile of turnover display short-term momentum. We argue that these findings arise from a combination of effects. First, short-term reversals stem from short-term liquidity demands. Second, news-driven returns tend to continue rather than reverse. Third,
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Order based versus level book trade reporting: An empirical analysis J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-10 James Upson, Thomas McInish, B. Hardy Johnson IV
The NYSE and NYSE American markets report trades based on the size of the marketable order, called Level Book reporting. All other U.S. exchanges report trades based on the resting counterparty's size, called Order Based reporting. Using ITCH data timestamped to the nanosecond, we show that Order Based reporting often results in the reporting of marketable orders as multiple trades of smaller size
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Hazard stocks and expected returns J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-22 R. Jared DeLisle, Michael F. Ferguson, Haimanot Kassa, Gulnara R. Zaynutdinova
Hazard stocks are the opposite of lottery stocks. We proxy hazard stocks with the minimum daily idiosyncratic return over the past month, “IMIN,” and examine the relation between hazard stocks and expected returns. The literature on lottery stocks implies that investors should discount hazard stocks. Anomalously, we find a negative relation between IMIN and future returns. Hedge portfolios that are
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Interest rate risk in the banking book: A closed-form solution for non-maturity deposits J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-11 Andreas Blöchlinger
I present an analytical valuation framework for the management of fixed-income instruments traded in imperfectly competitive markets, like demand deposits and credit card loans in the banking book, inter alia, to stabilize the abnormal profit margin. Banking book instruments contain embedded options such as withdrawal rights, discretionary pricing, rate clustering and zero-based floors. Analytical
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Algorithmic trading and firm value J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-19 Brian C. Hatch, Shane A. Johnson, Qin Emma Wang, Jun Zhang
Using data from 2002 to 2013, we show that algorithmic trading has a positive impact on firm value. Most of this positive impact flows through the channels of stock liquidity, idiosyncratic volatility, and idiosyncratic skewness, but algorithmic trading also has a large economic effect outside those channels. We use the advent of auto quotation on the New York Stock Exchange as an exogenous shock to
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Norwegian interbank market's response to changes in liquidity policy J. Bank. Financ. (IF 2.269) Pub Date : 2021-02-13 Q. Farooq Akram, Jon H. Findreng
We investigate activity and pricing in the Norwegian unsecured overnight interbank market in response to a change in the central bank’s liquidity policy. In October 2011, to encourage interbank trading, banks were allotted quotas for their overnight reserves with remuneration at the policy rate, while that on overnight reserves beyond allotted quotas was set one percentage point lower. In addition
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