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Risk attitude and capital market participation : is there a gender investment gap in Germany?

Fey, Jan-Christian; Lerbs, Oliver; Schmidt, Carolin; … - 2020

men. Once risk attitude is controlled for, this effect shrinks to only 2.6 percent. We find no difference when single … participation is mainly explained by different risk attitudes and monetary endowments, but women would participate even less in the … capital market if they reacted as sensitively to risk aversion as their male counterparts. Lastly, given participation in the …

Persistent link: https://www.econbiz.de/10012387111

The relevance or otherwise of the central bank’s balance sheet

Miles, David; Schanz, Jochen - 2014

develop and calibrate a simple OLG model in which risk-averse households hold money and bonds to insure against risk. Central …

Persistent link: https://www.econbiz.de/10010243977

Long run risk model and equity premium puzzle in Thailand

Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021

Persistent link: https://www.econbiz.de/10012582703

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

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

How do households allocate their assets? : stylized facts from the eurosystem household finance and consumption survey

Arrondel, Luc; Bartiloro, Laura; Fessler, Primin; … - 2014

Using the Household Finance and Consumption Survey (HFCS), a large micro-level dataset on households’ wealth in fifteen euro area countries, this paper explores how households allocate their assets. We derive stylized facts on asset participation as well as levels of asset holdings and...

Persistent link: https://www.econbiz.de/10010384151

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

The standard portfolio choice problem in Germany

Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2014

We study an investment experiment conducted with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable...

Persistent link: https://www.econbiz.de/10010413601

Decomposing the disposition effect

Maier, Johannes K.; Fischer, Dominik Simon - 2021

We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses re-...

Persistent link: https://www.econbiz.de/10012648374

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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