知名SSCI期刊《Journal of Banking and Finance》2022-136～137

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《Journal of Banking and Finance》

About the journal：

The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal's emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal's purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators.

The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.

一、目录

Volume 136

（March 2022）

[1]. Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium

Sunjin Park

[2]. The cost of foreign-currency lending

Manthos D. Delis, Panagiotis N. Politsidis, Lucio Sarno

[3]. Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach

Ruicheng Liu, Chi Seng Pun

[4]. Shrouding and the FX trades of global custody bank

Carol Osler, Tanseli Savaser

[5]. How new Fed corporate bond programs cushioned the Covid-19 recession

Michael D. Bordo, John V. Duca

[6]. The Correlation Risk Premium: International Evidence

Gonçalo Faria, Robert Kosowski, Tianyu Wang

[7]. Environmental regulation and financial stability: Evidence from Chinese manufacturing firms

Bihong Huang, Maria Teresa Punzi, Yu Wu

[8]. Private value of central bank liquidity and Banks’ bidding behavior in variable rate tender auctions

Falko Fecht, Patrick Weber

[9]. Does it pay to invest? The personal equity risk premium and stock market participation

Yulia Merkoulova, Chris Veld

[10]. Common institutional ownership and corporate social responsibility

Xin Cheng, He (Helen) Wang, Xianjue Wang

[11]. Corrigendum to “Concept Links and Return Momentum” Journal of Banking and Finance, 134 (2022) /106329

Qianqian Du, Dawei Liang, Zilin Chen, Jun Tu

[12]. Corrigendum to “Executives’ blaming external factors and market reactions: Evidence from earnings conference calls” [Journal of Banking and Finance 134 (2021) 106358]

Joonki Noh, Dexin Zhou

[13]. Special issue on green and ethical finance

Thorsten Beck, David Fernandez, Bihong Huang, Peter Morgan

[14]. The pricing of carbon risk in syndicated loans: Which risks are priced and why?

Torsten Ehlers, Frank Packer, Kathrin de Greiff

[15]. What drives a firm's ES performance? Evidence from stock returns

Mark Shackleton, Jiali Yan, Yaqiong Yao

[16]. Financial returns or social impact? What motivates impact investors’ lending to firms in low-income countries

Philipp Kollenda

[17]. Do sustainable consumers prefer socially responsible investments? A study among the users of robo advisors

Ann-Christine Brunen, Oliver Laubach

[18]. Active depositors

Mikael Homanen

Volume 137

（April 2022）

[1]. The Winner Takes It All: Investor Sentiment and the Eurovision Song Contest

Menachem (Meni) Abudy, Yevgeny Mugerman, Efrat Shust

[2]. Weighted Least Squares Realized Covariation Estimation

Yifan Li, Ingmar Nolte, Michalis Vasios, Valeri Voev, Qi Xu

[3]. Momentum-Managed Equity Factors

Volker Flögel, Christian Schlag, Claudia Zunft

[4]. Stocks versus corporate bonds: A cross-sectional puzzle

Jeroen van Zundert, Joost Driessen

[5]. The effect of lenders’ dual holding on loan contract design: Evidence from performance pricing provisions

Jesslyn Lim, Viet Do, Tram Vu

[6]. Optimal portfolio choice for higher-order risk averters

Yi Fang, Thierry Post

二、题目、作者、作者单位、关键词

Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium

Sunjin Park

Office of the Comptroller of the Currency, 400 7th St SW, Washington, DC 20219, United States

Abstract：

To understand macroeconomic risks underlying currency carry trades, I propose exploiting rich source of information from analysts’ economic growth forecasts. Specifically, I obtain measures of global growth prospects from the cross-analyst distribution of real GDP growth forecasts. I find that the global measure of skewness in forecasts negatively predicts returns both for the G10 carry and for the carry based on a wide range of currencies. The global skewness measure is found to play a more robust role compared to the global expected growth or dispersion measure. Using a model of heterogeneous beliefs, I illustrate that the consumption risk of the unbiased agent can increase because of the presence of a pessimist, who negatively skews the forecast distribution. The additional consumption risk translates to higher currency risk, introducing a source of the carry risk premium.

Keywords: Foreign exchange rate; Carry trade;Macroeconomic forecast; Heterogeneous beliefs

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426621003447

The cost of foreign-currency lending

Manthos D. Delis

Montpellier Business School, 2300; Avenue des Moulins, 34080 Montpellier, France

Panagiotis N. Politsidis

Audencia Business School, Finance Department, 8 route de la Jonelière, 44312 Nantes, France

Lucio Sarno

Cambridge Judge Business School, University of Cambridge, Trumpington Street, Cambridge CB2 1AG, UK

Abstract：

Lending to corporates in foreign currencies can expose banks to substantial currency risk. Using global syndicated loan data, we find that a one-standard-deviation increase in exchange rate volatility increases loan spreads somewhere in the range between 5.5 and 16.1 basis points for loans made in a currency different from the lenders’. This implies excess interest of approximately 1 to 3 USD million for loans of average size and duration. We also show that this finding is mostly attributed to credit constraints and deviations from perfect competition in international lending markets, and that borrowers can lower the extra cost by forming strong lending relationships with their banks.

Keywords:Global syndicated loans; Foreign-currency lending; Exchange rate risk; Bank market power; Relationship lending

来源：

 https://www.sciencedirect.com/science/article/abs/pii/S0378426621003496

Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach

Ruicheng Liu

School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore

Chi Seng Pun

School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore

Abstract：

This paper explores ways to improve the existing systemic risk measures by incorporating machine learning algorithms into the measurement. We aim to overcome the shortcomings of existing methods that rely on restricted modeling and are difficult to tap into various data resources. To this end, this paper unifies a dynamic quantification framework for systemic risk and links it to a two-step supervised learning problem, which allows for hierarchical structure of the systemic event and the return dependence. We leverage the generalization and predictive powers of machine learning to statistically model the tail events and the co-movements of the equity returns during the shocks to the macro-economy. Our results show that most machine learning algorithms enhance the systemic risk measure’s predictive power. Numerous comparative and sensitivity backtesting studies for United States and Hong Kong markets are conducted, from which we recommend the best machine learning algorithm for systemic risk measurement.

Keywords: Systemic risk measure; Machine learning; Cross-sectional measures; Conditional capital shortfall; Marginal expected shortfall (MES);SRISK

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426622000164

How new Fed corporate bond programs cushioned the Covid-19 recession

Michael D. Bordo

Rutgers University, National Bureau of Economic Research, Hoover Institution, Stanford University, CA 94305, USA

John V. Duca

Oberlin College, Deptartment of Economics, 223 Rice Hall, Oberlin, OH 44074, USA

Abstract：

In the financial crisis and recession induced by the Covid-19 pandemic, many investment-grade firms became unable to borrow from securities markets. In response, the Fed not only reopened its commercial paper funding facility but also announced it would purchase newly issued and seasoned corporate bonds rated as investment grade before the Covid pandemic. We assess the effectiveness of this program using long sample periods, spanning the Great Depression through the Great and Covid Recessions. Findings indicate that the announcement of corporate bond backstop facilities helped stop risk premia from rising further than they had by late-March 2020. In doing so, these backstop facilities limited the role of external finance premia in amplifying the macroeconomic impact of the Covid pandemic. Nevertheless, the corporate bond programs blend the roles of the Federal Reserve in conducting monetary policy via its balance sheet, acting as a lender of last resort, and pursuing credit policies.

Keywords:Financial crises; Federal Reserve; Credit easing; Lender of last resort; Corporate bonds; Corporate bond facility

来源：

https://www.sciencedirect.com/science/article/pii/S0378426622000139

The Correlation Risk Premium: International Evidence

Gonçalo Faria

Universidade Católica Portuguesa – Católica Porto Business School and CEGE, and University of Vigo – RGEA

Robert Kosowski

Imperial College Business School, CEPR and the Oxford-Man Institute of Quantitative Finance

Tianyu Wang

School of Economics and Management, Tsinghua University

Abstract：

In this paper we carry out a cross-country analysis of the correlation risk premium. We examine the statistical properties of the implied and realized correlation in European equity markets and relate the resulting premium to US equity market correlation risk and a global correlation risk premium. We find evidence of strong co-movement of correlation risk premiums in European and US equity markets. Our results support the existence of a strong empirical relationship between the global correlation risk premium and international equity market option returns. We document the dependence of the correlation risk premium on macroeconomic uncertainty and related variables.

Keywords: correlation risk premium; implied correlation; realized correlation; variance risk premium; international equity options

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426621003502

Private value of central bank liquidity and Banks’ bidding behavior in variable rate tender auctions

Falko Fecht

Frankfurt School of Finance and Management, Germany

Patrick Weber

Frankfurt School of Finance and Management, Germany

Abstract：

We use a unique data set that comprises each Euro area bank’s daily recourse to the ECB’s marginal lending facility (MLF) and all its bids placed in the ECB’s main refinancing operations (MROs) that were conducted as variable rate tenders until October 2008. We show that the more aggressive a bank bids in a MRO, the higher is its propensity to subsequently draw on the MLF. Our results indicate that particularly with the beginning of the financial crisis, the interest rate paid by a bank in a variable rate tender auction strongly reflects its private value for liquidity, i.e. its opportunity costs of obtaining short-term funding in money markets, and thus, the risk premium it is charged in the private market. This suggests 1) that variable rate tender auctions preserve some market discipline and contain moral hazard issues, especially in times when a central bank is extending its liquidity provision and 2) that the average interest rate paid in an auction can be a useful indicator for bank supervisors to gauge a bank’s access to liquidity in money markets.

Keywords: Banks access to interbank liquidity; LOLR Facility; Liquidity auctions

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426621001801

Does it pay to invest? The personal equity risk premium and stock market participation

Yulia Merkoulova

Monash University, Australia

 Chris Veld

Monash University, Department of Banking and Finance, H3.90, Caulfield East, VIC 3145, Australia

Abstract：

Individuals’ stock market participation depends on the risk-return trade-off they expect to achieve. We find that the expected economic benefits of investing are highly heterogeneous. We define the personal equity risk premium (PERP) as the difference between an individual's expectation of returns and personal opportunity cost of capital. Higher PERP is associated with greater stock market participation. Our results hold after we control for known factors, such as financial literacy, trust, and loss aversion, and are stronger for the level of stock investment. Disentangling PERP shows that both components help explain both stock market participation and the level of participation.

Keywords: Stock market participation; Equity risk premium; Financial literacy; Trust; Loss aversion

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426621001795

The pricing of carbon risk in syndicated loans: Which risks are priced and why?

Torsten Ehlers

Bank for International Settlements, Basel, Switzerland

Frank Packer

Bank for International Settlements, Representative Office for Asia and the Pacific, Hong Kong, SAR

Kathrin de Greiff

Kathrin de Greiff was a doctoral intern at the Bank for International Settlements while she did her PhD at the University of Zurich, Switzerland

Abstract：

Do banks price the risks of climate policy change? Combining syndicated loan data with carbon intensity data (CO2 emissions relative to revenue) of borrowers across a wide range of industries, we find a significant “carbon premium” since the Paris Agreement. The loan risk premium related to CO2 emission intensity is apparent across industries and broader than that due simply to “stranded assets” in fossil fuel or other carbon-intensive industries. The price of risk, however, appears to be relatively low given the material risks faced by some borrowers. Only carbon emissions directly caused by the firm (scope 1) are priced, and not the overall carbon footprint including indirect emissions. “Green” banks do not appear to price carbon risk differently from other banks.

Keywords: Environmental policy; Climate policy risk; Transition risk; Loan pricing

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426621001394

What drives a firm's ES performance? Evidence from stock returns

Mark Shackleton

Lancaster University Management School, Lancaster, LA1 4YX, United Kingdom

Jiali Yan

Accounting and Finance Group, University of Liverpool Management School, Liverpool, L69 7ZH, United Kingdom

Yaqiong Yao

Lancaster University Management School, Lancaster, LA1 4YX, United Kingdom

Abstract：

This study empirically explores the dynamic relation between the environmental and social (ES) performance of a firm and its stock market returns. We find robust evidence that worse stock market performance increases firms’ efforts on ES activities. Specifically, firms are more likely to improve their product and diversity performance and enhance their ES strengths rather than reduce ES concerns after poor stock market performance. This finding that poor stock market performance precedes enhanced ES performance is present (i) in firms with more financial slack, (ii) in firms with higher customer awareness, (iii) during the post-financial crisis period, and (iv) when a firm's shareholder activism on ES issues is intense. Our results underscore the importance of stock market performance in corporate ES decisions.

Keywords: ES performance; Stock market performance; Corporate governance

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426621002569

Financial returns or social impact? What motivates impact investors’ lending to firms in low-income countries

Philipp Kollenda

School of Business and Economics, Vrije Universiteit Amsterdam, De Boelelaan 1105, 1081 HV Amsterdam, The Netherlands

Abstract：

I analyze 70,000 transactions by retail impact investors on a peer-to-peer lending platform that intermediates loans to firms in low-income countries. Loans pay interest to investors and publicize indicators of expected social impact. Financial returns significantly influence investors’ decisions: a one percentage point increase in the interest rate increases funding speed seven-fold, investment probability two-fold and transaction size by 122 Euro. Expected social impact influences investors’ perception but has no influence (for female empowerment, employees and beneficiaries) or limited influence (for turnover) on investors’ funding decisions. When all available loans pay the same interest rates, female borrowers - but not firms with many employees or beneficiaries - are more likely to be chosen, suggesting that variation in financial returns can crowd out salient dimensions of social impact. The study implies that peer-to-peer lending platforms should function as gatekeepers of social impact and cannot outsource the evaluation of social impact to retail impact investors.

Keywords: Access to finance; Crowdfunding; Impact investment; Investor behaviour; Sustainable investment; Peer-to-peer lending

来源：

https://www.sciencedirect.com/science/article/pii/S0378426621001837

The Winner Takes It All: Investor Sentiment and the Eurovision Song Contest

Menachem (Meni) Abudy

Graduate School of Business Administration, Bar-Ilan University, Israel

Yevgeny Mugerman

Graduate School of Business Administration, Bar-Ilan University, Federmann Center for the Study of Rationality, Hebrew University of Jerusalem, Israel

Efrat Shust

Department of Management and Economics, Open University of Israel, Israel

Abstract：

This paper investigates the stock market reaction to a change in investor mood following the Eurovision Song Contest—an annual international song competition and one of the most watched non-sporting events globally. Contrary to existing literature on international competitions, we find a positive swing in investor sentiment in the winning country. The elevated atmosphere is reflected in a positive abnormal return of approximately 0.35% on the first trading day after the victory. This finding is robust to various event-study methods and to various benchmarks. This positive return is reversed several days later. Further, we do not find any indication of negative sentiment in other participating countries; specifically, in countries perceived as the losers of the contest. Finally, we do not find any indication that the positive market reaction reflects economic benefits stemming from a victory. Overall, we conjecture that a competition structure is an important determinant of investor sentiment in stock markets.

Keywords: Investor sentiment; Investor mood; Stock market reaction; Price reversal

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426622000322

Stocks versus corporate bonds: A cross-sectional puzzle

Jeroen van Zundert

Current affiliation: Cubist Systematic Strategies, 130 Jeremyn Street, SW1Y 4UR, London, United Kingdom

Joost Driessen

Finance Department, Tilburg University, Warandelaan 2, Tilburg, 5037AB, The Netherlands

Abstract：

We study the cross-sectional relation between stock and corporate bond markets. By correcting credit spreads of corporate bonds for expected default losses and by using equity-bond elasticities, we obtain a firm’s expected bond-implied stock return, which we then compare to its realized stock return. We find, surprisingly, a strong negative cross-sectional relation between these expected and realized stock returns. We show that this effect is not simply a restatement of the distress risk puzzle or other well-known anomalies in stock and corporate bond markets. This negative cross-sectional relation is strongest for high-risk firms and for liquid stocks.

Keywords: Cross-market relations; Corporate bond; Stock; Distress risk; Expected stock return

来源：

https://www.sciencedirect.com/science/article/pii/S0378426622000474

The effect of lenders’ dual holding on loan contract design: Evidence from performance pricing provisions

Jesslyn Lim

Cluster: Business, Communication and Design, Singapore Institute of Technology, Singapore

Viet Do

Department of Banking and Finance, Monash University, Scenic Blvd, Clayton, Victoria 3800, Australia

Tram Vu

Department of Banking and Finance, Monash University, 900 Dandenong Road, Caulfield East, Victoria 3145, Australia

Abstract：

Examining a sample of U.S. commercial loans originated between 1996 and 2017, we find that the propensity to employ performance pricing provisions (PPPs) in private loan contracts increases by about 10% when lenders are dual holders, that is, when they simultaneously hold equity in the borrowing firm. This finding supports the monitoring efficiency channel and is robust after accounting for the endogeneity bias from lenders’ dual holding. We also observe a substitution effect between PPP usage and covenant tightness, and the strength of this effect in dual-holder loans varies between spread-increasing and spread-decreasing PPPs. Borrowers of dual-holder loans are more likely to improve their accounting performance within one year of loan origination. These findings are consistent with dual holders’ incentive alignment role, which helps reduce monitoring costs, improve lenders’ monitoring effectiveness, and promote managerial flexibility.

Keywords: Performance pricing provision; Dual holding; Loan contract; Incentive alignment; Bank monitoring

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426622000620

Optimal portfolio choice for higher-order risk averters

Yi Fang

Jilin University and Business School, Jilin University, Changchun 130012, China

Thierry Post

Professor of Finance at the Graduate School of Business of Nazarbayev University and Director at the National Analytical Center ‘Analytica’ JSC Qabanbay Batyr Ave 53, Astana 010000, Kazakhstan

Abstract：

The effects of higher-order risk aversion on optimal cross-sectional portfolio choice are investigated using portfolio optimization with Stochastic Dominance constraints. Tractable sufficient conditions for higher-degree dominance are introduced that take the form of a system of linear inequalities. Existing studies of active equity industry rotation are extended from lower degrees to higher degrees of dominance. Fourth-degree dominance assumes that investors are ‘prudent’ and ‘temperate’ and therefore like skewness and dislike kurtosis. Using this dominance criterion leads to superior out-of-sample investment performance, by allowing for more concentration in recent winner industries which tend to show persistent positive abnormal returns and a favorable higher-order risk profile due to the industry-level price momentum effect.

Keywords: Portfolio choice; Higher-order risk; Portfolio optimization; Linear programming; Active portfolio management

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426622000292

The impact of bank regulation on firms’ capital structure: Evidence from multinationals

Lucas Avezum

Banco de Portugal

 Harry Huizinga

Tilburg University

Louis Raes

Tilburg University

Abstract：

This paper examines how the capital structure of non-financial firms is affected by international variation in bank regulation. A concise model yields an estimating equation that relates a firm's capital structure to bank regulatory variables and their interactions with the tax rate reflecting the tax deductibility of interest. We identify an effect of bank regulation on leverage by considering establishments of the same multinational firm located in different countries. Our results indicate that capital regulation stringency and official supervisory power are negatively related to firm leverage, while restrictions on non-lending activities and on financial conglomerates vary positively with firm leverage. High tax rates mitigate these effects.

Keywords: Capital structure; Bank regulation; Multinational corporation; Taxation

来源：

https://www.sciencedirect.com/science/article/abs/pii/S0378426622000590

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