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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 … different seniority levels. We show that tranching offers nonlinear diversification strategies, which can reduce the failure …

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

Pension fund sophistication and investment policy

Dreu, Jan de; Bikker, Jacob - de Nederlandsche Bank - 2009

, resulting in limited asset diversification. Third, medium-sized and smaller pension funds favor regional investments and as such … not fully employ the opportunities of international diversification. Finally, we show that pension funds using less …

Persistent link: https://www.econbiz.de/10004983365

Insurance companies' trading behaviour during the European Sovereign debt crisis: Flight home or flight to quality?

Bijlsma, Melle; Vermeulen, Robert - de Nederlandsche Bank - 2015

This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio...

Persistent link: https://www.econbiz.de/10011212825

Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs

Bikker, Jacob A.; Spierdijk, Laura; Sluis, Pieter Jelle … - de Nederlandsche Bank - 2005

This paper assesses the determinants of market impact costs of institutional equity trades, using unique data from the world's second largest pension fund. We allow the impact of trade characteristics and market conditions on trading costs to depend on the level of trading costs itself and...

Persistent link: https://www.econbiz.de/10005021833

Forecasting Market Impact Costs and Identifying Expensive Trades

Bikker, Jacob; Spierdijk, Laura; Hoevenaars, Roy; … - de Nederlandsche Bank - 2006

Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For the equity trades studied in this paper, executed by the world's second largest pension fund, we find that only 10% of the trades determines 75% of total market impact costs....

Persistent link: https://www.econbiz.de/10005021846

Portfolio Management by Dutch Households: an Analysis on the Basis of Basis of Survey

End, W.A. van den; Kakes, J.I.; Rooij, M.C.J. van; … - de Nederlandsche Bank - 2002

This report analyses the portfolio behaviour of Dutch households. The study is partly based on information from a broad survey commissioned by the Nederlandsche Bank, held in March of this year. The investigation shows that risk bearing elements are becoming more and more important in households...

Persistent link: https://www.econbiz.de/10005021857

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

Vermeulen, Robert - de Nederlandsche Bank - 2011

market diversification provides large gains during the financial crisis. This is remarkable because of large stock market … countries during the financial crisis. This result implies that global equity diversification has an important positive effect …

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

Subjective Measures of Risk Aversion, Fixed Costs, and Portfolio Choice

Kapteyn, Arie; Teppa, Federica - de Nederlandsche Bank - 2009

The paper investigates risk attitudes among different types of individuals. We use several different measures of risk attitudes, including questions on choices between uncertain income streams suggested by Barsky et al. (1997) and a number of ad hoc measures. As in Barsky et al. (1997) and...

Persistent link: https://www.econbiz.de/10004963331

Dependence structure of risk factors and diversification effects

Zou, Chen - de Nederlandsche Bank - 2009

from dependent risk factors. Moreover, we examine the diversification effects under this setup. …

Persistent link: https://www.econbiz.de/10004963333

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