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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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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
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - 2014
In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...
Persistent link: https://www.econbiz.de/10010471968
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The real effects of bank distress : evidence from bank bailouts in Germany
Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019
How does bank distress impact their customers' probability of default and trade credit availability? We address this question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times of distress and crisis, featuring the different...
Persistent link: https://www.econbiz.de/10012108717
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Vulnerable asset management? : the case of mutual funds
Fricke, Christoph; Fricke, Daniel - 2017
funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …
Persistent link: https://www.econbiz.de/10011740280
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Connected funds
Fricke, Daniel; Wilke, Hannes - 2020
Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...
Persistent link: https://www.econbiz.de/10012264505
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …
Persistent link: https://www.econbiz.de/10011632212
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Banks' trading after the Lehman crisis : the role of unconventional monetary policy
Podlich, Natalia; Schnabel, Isabel; Tischer, Johannes - 2017
liquidity tightened after the Lehman collapse but there is no evidence of fire sales in the German banking sector. Instead, we … observe a broad-based flight to liquidity. The European Central Bank's unconventional monetary policy had a strong impact on … banks' trading behavior by inducing shifts towards eligible securities and reducing pressure on market liquidity. This …
Persistent link: https://www.econbiz.de/10011671299
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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 net redemptions. We highlight the response of fund liquidity …
Persistent link: https://www.econbiz.de/10011995042
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Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups
Littke, Helge; Ossandon Busch, Matias - 2021
We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity … emergency liquidity. Our findings suggest that the geographical fragmentation of branches' funding limits their ability to …
Persistent link: https://www.econbiz.de/10012516271