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International diversification at home and abroad

Cai, Fang; Warnock, Francis E. - Deutsche Bundesbank - 2005

" equities in investors' portfolios nearly doubles, reducing (but not eliminating) the observed home bias. …

Persistent link: https://www.econbiz.de/10005083205

The home bias in equities and distribution costs

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

contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment …

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

Investment Behaviour of German Equity Fund Managers

Arnswald, Torsten - Deutsche Bundesbank - 2001

In order to shed light on the "black box" of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights...

Persistent link: https://www.econbiz.de/10005083125

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

Are there disadvantaged clienteles in mutual funds?

Jank, Stephan - Deutsche Bundesbank - 2010

. Households chase performance, but they are also subject to status quo bias in their flows. Regarding investor composition the …

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

Cash holdings of German open-end equity funds: Does ownership matter?

Dötz, Niko; Weth, Mark - Deutsche Bundesbank - 2013

In the light of the recent financial crisis, the discussion on the nature of runs and on the stabilizing role of liquidity holdings has intensified. This paper explores the cash management conducted by German open-end equity funds for the period between 2005 and 2010. Since ownership structures...

Persistent link: https://www.econbiz.de/10010984710

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 (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

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

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

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

This paper aims to identify the determinants of portfolio restructuring in EMU member states since the introduction of the euro and especially during the financial turbulence of the past years. We find that, besides exchange rate volatility and traditional indicators of information and...

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

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

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

stocks (local bias). We hypothesize that individual investors' local bias is not limited to the domestic sphere but instead … also determines their international investment decisions. Our results confirm the presence of a cross-border local bias … display a significantly lower foreign investment bias towards investment opportunities in that country and (ii) that this drop …

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