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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet …
Persistent link: https://www.econbiz.de/10012489580
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The persistent widening of cross-currency basis : when increased FX swap demand meets limits of arbitrage
Ben Zeev, Nadav; Nathan, Daniel - 2023
Persistent link: https://www.econbiz.de/10014486894
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Herding of institutional traders : new evidence from daily data
Kremer, Stephanie - 2010
This paper sheds new light on herding of institutional investors by using a unique database that identifies every transaction made by financial institutions in the German stock market. First, the analysis reveals that herding behavior of institutions occurs daily. Second, replication of the...
Persistent link: https://www.econbiz.de/10008665444
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common …
Persistent link: https://www.econbiz.de/10010233376
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Market timing, maturity mismatch, and risk management : evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … swap use. Exogeneity tests indicate that both decisions are only endogenous to each other for banks that start using swaps … compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …
Persistent link: https://www.econbiz.de/10010248947
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The augmented bank balance-sheet channel of monetary policy
Bittner, Christian; Bonfim, Diana; Heider, Florian; … - 2022
banks’ credit supply to firms. To do so, we use credit-registry data from Germany and Portugal together with the European …
Persistent link: https://www.econbiz.de/10013259629
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Bank stress testing under different balance sheet assumptions
Busch, Ramona; Drescher, Christian; Memmel, Christoph - 2017
Using unique supervisory survey data on the impact of a hypothetical interest rate shock on German banks, we analyse price and quantity effects on banks' net interest margin components under different balance sheet assumptions. In the first year, the cross-sectional variation of banks' simulated...
Persistent link: https://www.econbiz.de/10011632218
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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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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
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...
Persistent link: https://www.econbiz.de/10012250652