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Business cycle and investment flows of retail and institutional mutual funds

Salganik-Shoshan, Galla - In: International journal of managerial finance : IJMF 13 (2017) 5, pp. 498-520

Persistent link: https://www.econbiz.de/10011799566

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021

We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower...

Persistent link: https://www.econbiz.de/10012485994

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

Persistent link: https://www.econbiz.de/10012250652

Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

Persistent link: https://www.econbiz.de/10008902922

Stock market overreaction to bad news in good times : a rational expectations equilibrium model

Veronesi, Pietro - In: The review of financial studies 12 (1999) 5, pp. 975-1007

Persistent link: https://www.econbiz.de/10001434628

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

Persistent link: https://www.econbiz.de/10010407529