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Funding Illiquidity, Funding Risk, and Global Stock Returns

Malkhozov, Aytek - 2018

We test the role of funding-constrained investors across developed financial markets. We compile direct measures of the severity of funding frictions, or illiquidity, from deviations of government bond yields from a fitted yield curve. Using these illiquidity measures, we first show that higher...

Persistent link: https://www.econbiz.de/10012938026

Currency Management by International Fixed Income Mutual Funds

Sialm, Clemens; Zhu, Qifei - 2021

Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds'...

Persistent link: https://www.econbiz.de/10013233697

International capital flows and bond risk premia

Sierra, Jesus - 2010

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

Persistent link: https://www.econbiz.de/10003981333

International Capital Flows and Bond Risk Premia

Sierra Jimenez, Jesus A. - 2020

We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that...

Persistent link: https://www.econbiz.de/10012857491

Exportweltmeister : the low returns on Germany's capital exports

Hünnekes, Franziska; Schularick, Moritz; Trebesch, … - 2019 - This version: July 3, 2019

Germany is world champion in exporting capital ("Exportweltmeister"). No other country invests larger amounts of savings outside its borders. However, Germany plays in the third division when it comes to investment performance, as we show in this paper. We study the returns on German foreign...

Persistent link: https://www.econbiz.de/10012025673

Exportweltmeister : Germany's foreign investment returns in international comparison

Hünnekes, Franziska; Konradt, Maximilian; Schularick, … - 2023 - This version: February 13, 2023

In the past decade, Germany has been the world champion in exporting capital ("Exportweltmeister"). No other country invested larger amounts of savings outside its borders. However, we find that Germany plays in the third division when it comes to investment performance. To show this, we...

Persistent link: https://www.econbiz.de/10014232720

Exportweltmeister : Germany's foreign investment returns in international comparison

Hünnekes, Franziska; Konradt, Maximilian; Schularick, … - 2023 - Revised version: April 2023

In the past decade, Germany has been the world champion in exporting capital (“Exportweltmeister”). No other country invested larger amounts of savings outside its borders. However, we find that Germany plays in the third division when it comes to investment performance. To show this, we...

Persistent link: https://www.econbiz.de/10014276058

International Equity Flows and Returns : A Quantitative Equilibrium Approach

Albuquerque, Rui A. - 2014

This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

Persistent link: https://www.econbiz.de/10013039668

Global Funding Liquidity, Equity Returns and Crash Risk : Implications for Monetary Policy

Corcoran, Aidan - 2011

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a …

Persistent link: https://www.econbiz.de/10013131739

FX Liquidity Risk and Carry Trade Returns

Abankwa, Samuel - 2015

We study the effects of FX liquidity risk on carry trade returns using a low-frequency market-wide liquidity measure …. We show that a liquidity-based ranking of currency pairs can be used to construct a mimicking liquidity risk factor …, which helps in explaining the variation of carry trade returns across exchange rate regimes. In a liquidity-adjusted asset …

Persistent link: https://www.econbiz.de/10013015158

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