Cyclical investment behavior across financial institutions

• 成果类型: Article
• 署名作者: Timmer, Yannick
• 署名单位: Trinity College Dublin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.04.012
• 发表日期: 2018
• 页码: 268-286
• 关键词: Portfolio allocation; Investment behavior; financial markets; Debt securities; Balance sheet constraints

摘要

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 Microdatabase Securities Holdings Statistics. Banks and investment funds respond in a procyclical manner to past security-specific holding period returns. In contrast, insurance companies and pension funds act countercyclically; 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 procyclical investment behavior. (C) 2018 Elsevier B.V. All rights reserved.