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Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation

Baltzer, Markus; Stolper, Oscar; Walter, Andreas - Deutsche Bundesbank - 2013

Extant literature consistently documents that investors tilt their domestic equity portfolios towards regionally close stocks (local bias). We hypothesize that individual investors' local bias is not limited to the domestic sphere but instead also determines their international investment...

Persistent link: https://www.econbiz.de/10010957145

Endogenous credit derivatives and bank behavior

Pausch, Thilo - Deutsche Bundesbank - 2007

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...

Persistent link: https://www.econbiz.de/10005082815

Real-time forecasting and political stock market anomalies: evidence for the U.S.

Bohl, Martin T.; Döpke, Jörg; Pierdzioch, Christian - Deutsche Bundesbank - 2006

Using monthly data for the period 1953-2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model...

Persistent link: https://www.econbiz.de/10005083157

Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors

Baltzer, Markus; Stolper, Oscar; Walter, Andreas - Deutsche Bundesbank - 2011

We analyze the effect of geographic proximity on individual investors' portfolio choice. Using a unique data set which covers the common stockholdings of private households at regional banks in Germany, we document strong and consistent overinvestment in geographically close companies. Our...

Persistent link: https://www.econbiz.de/10009372151

The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany

Fecht, Falko; Wedow, Michael - Deutsche Bundesbank - 2009

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

Persistent link: https://www.econbiz.de/10008533497

Is the willingness to take financial risk a sex-linked trait? Evidence from national surveys of household finance

Barasinska, Nataliya; Schäfer, Dorothea - Deutsche Bundesbank - 2013

country's gender equality regime. Our empirical analysis involves household data on financial asset holdings as well as on … with the greatest degree of gender inequality according to the 2009 Global Gender Gap Report. Two stages of building a …, gender is found to have no effect in Austria, the Netherlands and Spain but does have an impact in Italy. However, even for …

Persistent link: https://www.econbiz.de/10010984745

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

The impact of downward rating momentum on credit portfolio risk

Güttler, André; Raupach, Peter - Deutsche Bundesbank - 2008

Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this ?downward momentum? on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous...

Persistent link: https://www.econbiz.de/10005082753

The Determinants of Venture Capital: Additional Evidence

van Pottelsberghe de la Potterie, Bruno; Romain, Astrid - Deutsche Bundesbank - 2004

This paper attempts to identify and evaluate the main determinants of venture capital (VC). We develop a theoretical model where macroeconomic conditions, technological opportunity, and the entrepreneurial environment affect the demand and supply of VC. The quantitative results, based on a panel...

Persistent link: https://www.econbiz.de/10005083116

The Economic Impact of Venture Capital

van Pottelsberghe de la Potterie, Bruno; Romain, Astrid - Deutsche Bundesbank - 2004

This paper attempts to evaluate the macroeconomic impact of venture capital (VC). We test the assumption that VC is similar in several respects to business R&D performed by large firms and therefore contributes to economic growth through two main channels: innovation and absorptive capacity. The...

Persistent link: https://www.econbiz.de/10005083275