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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
We document a strong effect of pension and insurance company (P&I) assets on the long end of the yield curve. Using … ratio of pension assets (in funded and private pension and life insurance arrangements) to GDP, suggesting that preferred … increases. These effects extend beyond long government bonds. Our results suggest that pension discount rules can have a …
Persistent link: https://www.econbiz.de/10011931879
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016
Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the … valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance … liabilities as closely as possible. We minimize the L1 error between the discounted life insurance liability cash flows and the …
Persistent link: https://www.econbiz.de/10011515725
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Responsible institutional investing around the world
Gibson, Rajna; Glossner, Simon; Krüger, Philipp; … - 2020 - This version: December 2019
We explore a novel survey on responsible investing by institutional investors around the world and match it to archival data on their equity portfolio holdings. We document that institutions that publicly commit to responsible investing exhibit better environmental, social, and governance (ESG)...
Persistent link: https://www.econbiz.de/10012181356
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Institutional corporate bond demand
Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, … - 2020
We compile a rich dataset that links institutional investors' position level holdings with corporate bond characteristics and estimate demand elasticities with respect to critical sources of risk. Persistence in institutions' holdings provide us with an instrument to isolate exogenous movements...
Persistent link: https://www.econbiz.de/10012421461
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The equity market implications of the retail investment boom
Beck, Philippe van der; Jaunin, Coralie - 2021
This paper quantifies the impact of Robinhood traders on the US equity market. Within a structural model, we estimate retail and institutional demand curves and derive aggregate pricing implications via market clearing. The inelastic nature of institutional demand allows Robinhood traders to...
Persistent link: https://www.econbiz.de/10012487631
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ICO investors
Fahlenbrach, Rüdiger; Frattaroli, Marc - 2019
We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4,700 contributors. The median participant contributes small amounts and many investors sell their tokens before the underlying product is developed. Large presale investors obtain tokens...
Persistent link: https://www.econbiz.de/10012052417
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Financial returns to household inventory management
Baker, Scott; Johnson, Stephanie; Küng, Lorenz - 2020
, they choose to maintain liquid savings - household working capital - not just for precautionary motives but also to support …
Persistent link: https://www.econbiz.de/10012421080
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Financial returns to household inventory management
Baker, Scott; Johnson, Stephanie; Küng, Lorenz - 2020
, they choose to maintain liquid savings – household working capital – not just for precautionary motives but also to support …
Persistent link: https://www.econbiz.de/10012271205
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Portfolio selection with exploration of new investment opportunities
Sornette, Didier; Strub, Moris Simon - 2020
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...
Persistent link: https://www.econbiz.de/10012271124
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Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?
Gibson, Rajna; Wang, Songtao - 2008
This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...
Persistent link: https://www.econbiz.de/10003966170