EconPapers    
Economics at your fingertips  
 

Cyclical investment behavior across financial institutions

Yannick Timmer

No 77, ESRB Working Paper Series from European Systemic Risk Board

Abstract: 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 pro-cyclical manner to past security-specific holding period returns. In contrast, insurance companies and pension funds act counter-cyclically; they buy when returns have been negative and sell after high returns. The heterogeneous responses can be explained by differences in their balance sheet structure. I exploit within-sector variation in the financial constraint to show that tighter constraints are associated with relatively more pro-cyclical investment behavior. JEL Classification: G11, G15, G12, G21, G22, G23

Keywords: balance sheet constraints; debt securities; financial markets; investment behavior; portfolio allocation (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban
Date: 2018-07
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.esrb.europa.eu//pub/pdf/wp/esrb.wp77.en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:srk:srkwps:201877

Access Statistics for this paper

More papers in ESRB Working Paper Series from European Systemic Risk Board 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2018-10-07
Handle: RePEc:srk:srkwps:201877