Cyclical Investment Behavior Across Financial Institutions
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Cyclical Investment Behavior Across Financial Institutions
Author | : |
Publisher | : |
Total Pages | : 55 |
Release | : 2018 |
Genre | : |
ISBN | : 9789294720443 |
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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 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.
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