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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
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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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Redemptions and asset liquidations in corporate bond funds
Dötz, Niko; Weth, Mark - 2019
Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship and the liquidity management of funds in the presence of...
Persistent link: https://www.econbiz.de/10011995042
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Shorting the dollar when global stock markets roar : the equity hedging channel of exchange rate determination
Ben Zeev, Nadav; Nathan, Daniel - 2023
Persistent link: https://www.econbiz.de/10014486893
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Securities lending and information acquisition
Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024
Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...
Persistent link: https://www.econbiz.de/10014501098
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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...
Persistent link: https://www.econbiz.de/10012489580
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Asset prices and alternative characterizations of the pricing kernel
Lüders, Erik - 2002
volatility. Hence, they are viable alternatives to the geometric Brownian motion. …
Persistent link: https://www.econbiz.de/10013428466
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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
Persistent link: https://www.econbiz.de/10013428399
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What triggers stock market jumps?
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021
Persistent link: https://www.econbiz.de/10012614411
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407