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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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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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Out of sight, out of mind? : on the risk of sub-custodian structures
Droll, Thomas; Podlich, Natalia; Wedow, Michael - 2015
long and frequently reach across several countries. The risk that securities are lost or the return to their owners delayed …-custodian reduce the country risk in sub-custodian structures. When we analyse the choice of a CSD as first sub-custodian, we find that …
Persistent link: https://www.econbiz.de/10011334614
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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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Vulnerable asset management? : the case of mutual funds
Fricke, Christoph; Fricke, Daniel - 2017
Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...
Persistent link: https://www.econbiz.de/10011740280
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Cash holdings of German open-end equity funds : does ownership matter?
Dötz, Niko; Weth, Mark - 2013
lasting retail-orientation is likely to be linked to their exposure to the risk of strategic investor behavior at times of …
Persistent link: https://www.econbiz.de/10010202775
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The spillover effect of managerial taxes on mutual fund risk-taking
Bührle, Anna Theresa; Yen, Chia-Yi - 2023 - This version: August 25, 2023
provide evidence that mutual fund managers with considerable co-investment stakes alter risk-taking decisions to prioritize … managerial capital gains taxes, we observe that co-investing fund managers increase risk-taking by 8%. Specifically, these …
Persistent link: https://www.econbiz.de/10014422557
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
response to lower in-terest rates, and vice versa. Institutional funds' risk-taking increases when interest rates turn negative …
Persistent link: https://www.econbiz.de/10012250652
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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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Who creates and who bears flow externalities in mutual funds?
Fricke, Daniel; Jank, Stephan; Wilke, Hannes - 2022
Using a unique dataset on the sectoral ownership structure of euro area equity mutual funds, we study how different investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual funds, are the main contributors to the flow...
Persistent link: https://www.econbiz.de/10013435221