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How banks respond to distress : shifting risks in Europe's banking union

Mink, Mark; Ramcharan, Rodney; Lelyveld, Iman van - 2020

This paper uses granular bond portfolio data to study how banking systems across the European Union (EU) adjust their asset holdings in response to regulatory solvency shocks. We also study the impact of these shocks at financial intermediaries on the prices of bonds in their portfolio. Despite...

Persistent link: https://www.econbiz.de/10012161046

Cyclical investment behavior across financial institutions

Timmer, Yannick - 2016

This paper examines the investment behavior of different financial institutions in debt securities with a particular focus on their response to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that...

Persistent link: https://www.econbiz.de/10011975050

Cyclical investment behavior across financial institutions

Timmer, Yannick - 2018

This paper contrasts the investment behavior of different financial institutions in debt securities as a response to past returns. For identification, I use unique security-level data from the German Micro-database Securities Holdings Statistics. Banks and investment funds respond in a...

Persistent link: https://www.econbiz.de/10011978714

Insurers' investment behaviour and the coronavirus (COVID-19) pandemic

Fay, Constanze; Ghiselli, Angelica - 2023

This research explores two aspects of European insurers' investment behaviour related to crises. While they are often considered as financial market stabilisers and long-term investors, there is currently a lack of knowledge about insurers' investment behaviour in crises under the regulatory...

Persistent link: https://www.econbiz.de/10014374815

Time-series efficient factors

Ehsani, Sina; Linnainmaa, Juhani - 2020

Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …

Persistent link: https://www.econbiz.de/10012244867

Pakistan : a study of market's returns and anomalies

Tauseef, Sana; Dupuy, Philippe - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 344-363

market portfolios. However, observed large returns come together with inverted premia for most traditional factors indicating …

Persistent link: https://www.econbiz.de/10014339149

Optimal choice and beliefs with ex ante savoring and ex post disappointment

Gollier, Christian; Muermann, Alexander - 2006

We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism raises both the utility of ex ante feelings and the risk...

Persistent link: https://www.econbiz.de/10010298342

A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets

Irle, Albrecht; Prelle, Claas - 2008

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

Persistent link: https://www.econbiz.de/10010263520

Occupational choice and the private equity premium puzzle

Hintermaier, Thomas; Steinberger, Thomas - 2002

This paper suggests a solution to what has become known as the "private equity premium puzzle" (Moskowitz and Vissing-Jorgensen (2002)). We interpret occupational choice as a dynamic portfolio choice problem of a life-cycle investor facing a liquidity constraint and imperfect information about...

Persistent link: https://www.econbiz.de/10009725485

Illusion of expertise in portfolio decisions : an experimental approach

Fellner, Gerlinde; Güth, Werner; Maciejovsky, Boris - 2001

Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...

Persistent link: https://www.econbiz.de/10011408429