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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 … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …
Persistent link: https://www.econbiz.de/10012489580
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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
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The spillover effect of managerial taxes on mutual fund risk-taking
Bührle, Anna Theresa; Yen, Chia-Yi - 2023 - First version: July 18, 2023
greater risk. By exploiting the enactment of the American Taxpayer Relief Act 2012 as an exogenous tax shock, we observe that … co-investing fund managers increase risk-taking by 8%. Specifically, these managers adjust their portfolios by investing …
Persistent link: https://www.econbiz.de/10014323792
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10010373710
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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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Brazilian population and the social security system : reform alternatives
Beltrão, Kaizô Iwakami; Pinheiro, Sonoê Sugahara - 2015
This study analyses the situation of the Brazilian population vis-à-vis the Social Security System (SSS) using data from PNAD. We chose the 1982, 1992 and 2002 PNAD data to give a series of pictures of the Brazilian population at equal intervals but under different legal instances with respect...
Persistent link: https://www.econbiz.de/10012023819
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Die Rolle der betrieblichen Altersvorsorge für die Einkünfte im Alter : aktuelle Evidenz und Datengrundlagen
Bucher-Koenen, Tabea; Knebel, Caroline; Meyer, Christina - 2021 - This draft: December 15, 2021
Trotz der sozialpolitischen Bedeutung, die der betrieblichen Altersvorsorge (bAV) seit den Rentenreformen der Neunziger- und Zweitausenderjahre zukommt, werden die unvollständige Evidenzlage, Intransparenz und fehlende Datengrundlagen in den letzten Jahren regelmäßig bemängelt. In diesem...
Persistent link: https://www.econbiz.de/10012793652
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Effectiveness of early retirement disincentives : individual welfare, distributional and fiscal implications
Bönke, Timm; Kemptner, Daniel; Lüthen, Holger - 2016
In aging societies, information on how to reform pension systems is essential to policy makers. This study scrutinizes effects of early retirement disincentives on retirement behavior, individual welfare, pensions and public budget. We employ administrative pension data and a detailed model of...
Persistent link: https://www.econbiz.de/10011440834
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Demographic change and the rate of return in PAYG pension systems
Schön, Matthias - 2020
The currently observed demographic change consists of two independent develop-ments that differ in structure and persistence: (1) A slow, monotonic and (presum-ably) permanent ageing effect caused by an increasing life expectancy; (2) a morerapidly changing, non-monotonic and less permanent...
Persistent link: https://www.econbiz.de/10012313783
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Consumption taxation to finance pension payments
Ruppert, Kilian; Schön, Matthias; Stähler, Nikolai - 2021
This paper assesses how a permanent shift from financing a public pay-as-you-go pension by direct (labour income) taxation towards financing it by indirect(consumption) taxation affects the economy and welfare. To this end, we use anoverlapping-generations-augmented two-region general...
Persistent link: https://www.econbiz.de/10012792525