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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

Dynamics of probabilities of default

Bednarek, Peter; Franke, Günter - 2024

Probabilities of default (PDs) of loans are of central importance for financial stability. We analyze the PDs, reported quarterly by German financial institutions to Deutsche Bundesbank. The development of PDs is modelled as an AR process of PD changes and an initial PD. Panel regressions show...

Persistent link: https://www.econbiz.de/10015048451

Equity premium predictability over the business cycle

Mönch, Emanuel; Stein, Tobias - 2021

The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...

Persistent link: https://www.econbiz.de/10012607106

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

Fire buys of central bank collateral assets

Roure, Calebe de - 2017

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise their demand for collateral assets, and the short-term scarcity of collateral securities leads to higher prices, the Fire Buy premium. To avoid collateral scarcity, central...

Persistent link: https://www.econbiz.de/10011587096

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Information transmission between banks and the market for corporate control

Bittner, Christian; Fecht, Falko; Pala, Melissa; Saidi, … - 2022

This paper provides evidence of deliberate private-information disclosure within banks’ international business networks. Using supervisory trade-level data, we show that banks with closer ties to a target advisor in a takeover buy more stocks of the target firm prior to the deal announcement,...

Persistent link: https://www.econbiz.de/10013336388

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

Baltzer, Markus; Stolper, Oscar; Walter, Andreas - 2013

stocks (local bias). We hypothesize that individual investors’ local bias is not limited to the domestic sphere but instead … also determines their international investment decisions. Our results confirm the presence of a cross-border local bias … display a significantly lower foreign investment bias towards investment opportunities in that country and (ii) that this drop …

Persistent link: https://www.econbiz.de/10009740268

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...

Persistent link: https://www.econbiz.de/10011381702

How is the low-interest-rate environment affecting the solvency of German life insurers?

Kablau, Anke; Weiß, Matthias - 2014

Life insurance companies are affected directly by the impact of the low-interestrate environment. To fulfil promised guarantees they may be forced to tap into their own funds, say if the current income generated is no longer sufficient to cover the policyholders’ profit participation share as...

Persistent link: https://www.econbiz.de/10010432256

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