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Shifts in the portfolio holdings of euro area investors in the midst of COVID-19: Looking-through investment funds

Carvalho, Daniel; Schmitz, Martin - 2021

We study the impact of the COVID-19 shock on the portfolio exposures of euro area investors. The analysis "looks-through" holdings of investment fund shares to first gauge euro area investors' full exposures to global debt securities and listed shares by sector at end-2019 and to subsequently...

Persistent link: https://www.econbiz.de/10012515447

Are momentum traders different? Implications for the momentum puzzle

Menkhoff, Lukas - 2010

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

Persistent link: https://www.econbiz.de/10010270394

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

Persistent link: https://www.econbiz.de/10010300703

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

Persistent link: https://www.econbiz.de/10010302545

Do investors optimize, follow heuristics, or listen to experts?

Gehrig, Thomas P.; Güth, Werner; Levínský, René; … - 2008

In the experimental scenario several agents repeatedly invest in n (n2) state-specific assets. The evolutionarily stable and equilibrium (Blume and Easley, 1992) portfolio for this situation requires to distribute funds according to the constant probabilities of the various states. The different...

Persistent link: https://www.econbiz.de/10010274010

Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers

Walther, Ursula - 2002

Die strategische Asset Allokation ist die für den langfristigen Anlageerfolg wichtigste Entscheidung eines Kapitalanlegers. Eine fundierte Entscheidung erfordert einen mehrstufigen, strukturierten Prozess. Der Anleger muss sich mit den realistischen Chancen des Kapitalmarktes und mit seinen...

Persistent link: https://www.econbiz.de/10010305678

Missing the marks? Dispersion in corporate bond valuations across mutual funds

Cici, Gjergji; Gibson, Scott; Merrick, John J. - 2010

dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have …

Persistent link: https://www.econbiz.de/10010303834

The performance of corporate-bond mutual funds: Evidence based on security-level holdings

Cici, Gjergji; Gibson, Scott - 2010

This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and … equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on … weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active …

Persistent link: https://www.econbiz.de/10010303835

Return distributions of equity-linked retirement plans

Detering, Nils; Weber, Andreas; Wystup, Uwe - 2010

We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...

Persistent link: https://www.econbiz.de/10010303923

Konstruktion einer Anleihe mit hypothekarischer Besicherung

Alram, Johannes - 2009

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

Persistent link: https://www.econbiz.de/10010298959