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Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2013

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a …

Persistent link: https://www.econbiz.de/10010822709

International Diversification During the Financial Crisis: A Blessing for Equity Investors?

Vermeulen, Robert - de Nederlandsche Bank - 2011

This paper empirically investigates international equity investors' foreign portfolios before and during the financial crisis by estimating a gravity model for 22 source and 42 destination countries. The results show that international stock market diversification provides large gains during the...

Persistent link: https://www.econbiz.de/10009385893

Are banks too big to fail?

Zhou, Chen - de Nederlandsche Bank - 2009

importance. From both theo- retical model and empirical analysis, we find that in analyzing the systemic risk posed by one …

Persistent link: https://www.econbiz.de/10008475752

Is Contagion in the Eye of the Beholder?

Mink, Mark - de Nederlandsche Bank - 2009

Empirical research on contagion between international stock markets generally focuses on market returns converted to US dollars, as this would be consistent with the perspective of an international investor. This note argues that such a conversion is inappropriate, since only returns denominated...

Persistent link: https://www.econbiz.de/10008475757

The pungent smell of Red Herrings; Subsoil assets, rents, volatility and the resource curse

Ploeg, Frederick van der; Poelhekke, Steven - de Nederlandsche Bank - 2009

Brunnschweiler and Bulte (2008) provide cross-country evidence that the resource curse is a red herring&; once one corrects for the endogeneity of natural resource exports and allows resource abundance to have an effect on growth. Their results show that resource exports are no longer...

Persistent link: https://www.econbiz.de/10008475761

The pitch rather than the pit: investor inattention during FIFA World Cup matches

Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...

Persistent link: https://www.econbiz.de/10009493318

It hurts (stock prices) when your team is about to lose a soccer match

Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2014

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...

Persistent link: https://www.econbiz.de/10010739160

Momentum or Contrarian Investment Strategies:Evidence from Dutch institutional investors

Haan, Leo de; Kakes, Jan - de Nederlandsche Bank - 2010

This paper analyses investment strategies of three types of institutional investors pension funds, life insurers and non-life insurers over the period 1999-2005. We use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. We trace asset...

Persistent link: https://www.econbiz.de/10008518884

Correlated Trading and Returns

Dorn, Daniel; Huberman, Gur; Sengmueller, Paul - de Nederlandsche Bank - 2005

Retail clients at a major German discount broker trade in tandem - they tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Neither aggregate liquidity effects nor short sale constraints fully explain this behavior. The systematic execution of...

Persistent link: https://www.econbiz.de/10005101832

Securitization and the dark side of diversification

Oordt, Maarten van - de Nederlandsche Bank - 2012

Diversification by banks affects the systemic risk of the sector. Importantly, Wagner (2010) shows that linear … diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with … risk of individual institutions beyond the minimum level attainable by linear diversification, without increasing systemic …

Persistent link: https://www.econbiz.de/10010543515

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