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Investing in crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...
Persistent link: https://www.econbiz.de/10012518234
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Is the EU money market fund regulation fit for purpose? : lessons from the COVID-19 turmoil
Capotă, Laura-Dona; Grill, Michael; Molestina Vivar, Luis - 2022
The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU's regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that...
Persistent link: https://www.econbiz.de/10013390997
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012197781
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An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - 2010
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and...
Persistent link: https://www.econbiz.de/10008746582
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Diversification in euro area stock markets
Moerman, Gerard - 2004
recent euro area stock markets data, we find clear evidence that diversification over industries yields more efficient … portfolios than diversification over countries. We show that this result is robust with respect to the information technology … and a different sample period, that country diversification strategies are superior. We regard this paper as a robustness …
Persistent link: https://www.econbiz.de/10009636550
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Risk and return in international corporate bond markets
Bekaert, Geert; De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...
Persistent link: https://www.econbiz.de/10012259354
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Private and public risk sharing in the euro area
Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo - 2018
This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...
Persistent link: https://www.econbiz.de/10011856373
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The portfolio of euro area fund investors and ECB monetary policy announcements
Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2017
This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...
Persistent link: https://www.econbiz.de/10011764397
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A deep dive into the capital channel of risk sharing in the euro area
Martín Fuentes, Natalia; Born, Alexandra; Bremus, Franziska - 2023
This paper investigates the contribution of capital markets to international risk sharing in the euro area over the 2000Q1-2021Q1 period. It provides three main contributions: First, the estimation of country-specific vector autoregressions (VAR) shows that shock absorption through capital...
Persistent link: https://www.econbiz.de/10014482862
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"Glossy green" banks : the disconnect between environmental disclosures and lending activities
Giannetti, Mariassunta; Jasova, Martina; Loumioti, Maria; … - 2023
Using confidential information on banks' portfolios, inaccessible to market participants, we show that banks that emphasize the environment in their disclosures extend a higher volume of credit to brown borrowers, without charging higher interest rates or shortening debt maturity. These results...
Persistent link: https://www.econbiz.de/10014483681