Similar Search Results

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

Immunization as a solution to a maximum expected utility strategy

Machnes, Yaffa - 1989

Persistent link: https://www.econbiz.de/10000769090

Duration measures for specific term sturcture estimations and applications to bond portfolio immunization

Prisman, Eliezer Zeev; Shores, Marilyn R. - 1987

Persistent link: https://www.econbiz.de/10000744493

Consumption volatility, production volatility, spot rate volatility and the returns on treasury bills and bonds

Lauterbach, Beni - 1989

Persistent link: https://www.econbiz.de/10000769051

Market transparency and the marking precision of bond mutual fund managers

Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014

in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …

Persistent link: https://www.econbiz.de/10010373710

Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management … find that, in the first year, the impairments of banks' bond portfolios are much larger than the reductions in their net … interest derivatives have lower impairments in their bond portfolios. In addition, we find that banks' exposures to interest …

Persistent link: https://www.econbiz.de/10012160610

A simple measure of bond convexity with applications

Zimmermann, Heinz - 1988

Persistent link: https://www.econbiz.de/10013450172

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

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

Persistent link: https://www.econbiz.de/10012250652

Redemptions and asset liquidations in corporate bond funds

Dötz, Niko; Weth, Mark - 2019

German corporate bond funds by merging data on asset liquidity with information on fund ownership. First, conditional on …

Persistent link: https://www.econbiz.de/10011995042

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