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Sturm und Drang in money market funds: When money market funds cease to be narrow

Jank, Stephan; Wedow, Michael - 2010

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: in liquid times, money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...

Persistent link: https://www.econbiz.de/10010302550

Do specialization benefits outweigh concentration risks in credit portfolios of German banks?

Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010

monitoring abilities of German cooperative banks and savings banks increase with their specialization on certain industry sectors … impact of higher credit concentrations in the case of the cooperative banks. For savings banks, the results on the net effect …

Persistent link: https://www.econbiz.de/10010303636

Financial advisors: A case of babysitters?

Hackethal, Andreas; Haliassos, Michael; Jappelli, Tullio - 2009

We merge administrative information from a large German discount brokerage firm with regional data to examine if financial advisors improve portfolio performance. Our data track accounts of 32,751 randomly selected individual customers over 66 months and allow direct comparison of performance...

Persistent link: https://www.econbiz.de/10010303719

Herding of institutional traders: New evidence from daily data

Kremer, Stephanie - 2010

This paper sheds new light on herding of institutional investors by using a unique database that identifies every transaction made by financial institutions in the German stock market. First, the analysis reveals that herding behavior of institutions occurs daily. Second, replication of the...

Persistent link: https://www.econbiz.de/10010303818

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

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

We study the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have contributed to the general decline in dispersion over our...

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 returns. The new database allows us to decompose the costs and benefits of active management. In contrast to prior research on equity funds that shows evidence of stock-selection...

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

The home bias in equities and distribution costs

Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...

Persistent link: https://www.econbiz.de/10010303899

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 … as a compromises between these two extremes. In bullish markets savings plans with a high equity ratio perform the best … the savings plans dominates the performance, especially in typical fee structures found in the German Riester-Rente. The …

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

Modelling correlations in portfolio credit risk

Rosenow, Bernd; Weißbach, Rafael; Altrock, Frank - 2004

The risk of a credit portfolio depends crucially on correlations between the prob- ability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the resulting estimation error hinders the detection of a...

Persistent link: https://www.econbiz.de/10010306233

Uncertainty Aversion, Robust Control and Asset Holdings

Xepapadeas, Anastasios; Vardas, Giannis - 2004

Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. The robust portfolio rule indicates that the total holdings of risky assets as a proportion of the investor's wealth could increase as compared to the holdings...

Persistent link: https://www.econbiz.de/10011324938