Similar Search Results

Firm-level evidence on international stock market comovement

Brooks, Robin; Del Negro, Marco - Deutsche Bundesbank - 2005

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10005059019

Income diversification in the German banking industry

Busch, Ramona; Kick, Thomas - Deutsche Bundesbank - 2009

analyzes the determinants of non-interest income and its impact on financial performance and the risk profile of German banks … between 1995 and 2007. We find empirical evidence that for all German universal banks risk-adjusted returns on equity and … strong engagement in fee-generating activities goes along with higher risk. In order to analyze possible cross …

Persistent link: https://www.econbiz.de/10005026934

Optimal savings for retirement: The role of individual accounts and disaster expectations

Le Blanc, Julia; Scholl, Almuth - Deutsche Bundesbank - 2011

We employ a life-cycle model with income risk to analyze how tax-deferred individual accounts affect households …

Persistent link: https://www.econbiz.de/10009646496

Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors

Jochem, Axel; Volz, Ute - Deutsche Bundesbank - 2011

and traditional indicators of information and transaction costs, the perception of sovereign risk has become more …

Persistent link: https://www.econbiz.de/10009004690

The third pillar in Europe: institutional factors and individual decisions

Le Blanc, Julia - Deutsche Bundesbank - 2011

most. Background risk due to expectations of future pension reforms as well as experience with occupational pensions …

Persistent link: https://www.econbiz.de/10009018203

The home bias in equities and distribution costs

Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - Deutsche Bundesbank - 2010

positions for a wide range of parameter values, even if agents have an incentive to hedge labor income risk by purchasing …

Persistent link: https://www.econbiz.de/10008804629

Are there disadvantaged clienteles in mutual funds?

Jank, Stephan - Deutsche Bundesbank - 2010

This paper studies the flow-performance relationship of three different investor groups in mutual funds: Households, financial corporations, and insurance companies and pension funds, establishing the following findings: Financial corporations have a strong tendency to chase past performance and...

Persistent link: https://www.econbiz.de/10008833257

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - Deutsche Bundesbank - 2009

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return are derived. The presented results hold for any number of observations n = d 2 and number of assets d = 4. The...

Persistent link: https://www.econbiz.de/10005082766

Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - Deutsche Bundesbank - 2009

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory … improvements. The present paper seeks to contribute to this evolution, focusing on the Global Risk Appetite Index (GRAI) class of …

Persistent link: https://www.econbiz.de/10005082768

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - Deutsche Bundesbank - 2005

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...

Persistent link: https://www.econbiz.de/10005082771