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Market transparency and the marking precision of bond mutual fund managers

Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014

in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …

Persistent link: https://www.econbiz.de/10010373710

Financial conditions, macroeconomic factors and (un)expected bond excess returns

Fricke, Christoph; Menkhoff, Lukas - 2014

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

Persistent link: https://www.econbiz.de/10010436625

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010471006

Consumption volatility, production volatility, spot rate volatility and the returns on treasury bills and bonds

Lauterbach, Beni - 1989

Persistent link: https://www.econbiz.de/10000769051

Evaluation of minimum capital requirements for bank loans to SMEs

Düllmann, Klaus; Koziol, Philipp - 2013

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....

Persistent link: https://www.econbiz.de/10009751062

Wealth shocks, credit-supply shocks, and asset allocation : evidence from household and firm portfolios

Kick, Thomas; Ruprecht, Benedikt; Onali, Enrico; … - 2014

We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth...

Persistent link: https://www.econbiz.de/10010258831

Market timing, maturity mismatch, and risk management : evidence from the banking industry

Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013

We investigate financial intermediaries’ interest rate risk management as the simultaneous decision of on-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher likelihood of bank distress makes banks reduce...

Persistent link: https://www.econbiz.de/10010248947

Cyclical investment behavior across financial institutions

Timmer, Yannick - 2016

This paper examines the investment behavior in debt securities across financial institutions with a particular focus on how they respond to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that banks...

Persistent link: https://www.econbiz.de/10011456487

Credit risk interconnectedness : what does the market really know?

Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...

Persistent link: https://www.econbiz.de/10011456511

Is local bias a cross-border phenomenon? : evidence from individual investors’ international asset allocation

Baltzer, Markus; Stolper, Oscar; Walter, Andreas - 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/10009740268

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