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Market transparency and the marking precision of bond mutual fund managers

Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014

We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US …. Disseminated bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout … events. Dispersion for large, investment grade bonds fell 20% to 83% after the start of TRACE reporting. A difference …

Persistent link: https://www.econbiz.de/10010373710

High-frequency trading in the Bund futures market

Schlepper, Kathi - 2016

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...

Persistent link: https://www.econbiz.de/10011483067

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

Persistent link: https://www.econbiz.de/10011855295

Investor fears and risk premia for rare events

Schwarz, Claudia - 2014 - This version: January 13, 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010249730

Securities lending and information acquisition

Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Persistent link: https://www.econbiz.de/10014501098

Financial conditions, macroeconomic factors and (un)expected bond excess returns

Fricke, Christoph; Menkhoff, Lukas - 2014

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part. In order to explore these risk premia and innovations,...

Persistent link: https://www.econbiz.de/10010436625

Performance of maturity transformation strategies

Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020

This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term...

Persistent link: https://www.econbiz.de/10012313784

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...

Persistent link: https://www.econbiz.de/10011740280

Revisiting the finance and growth nexus : a deeper look at sectors and instruments

Unger, Robert - 2019

This paper investigates empirically whether the relation between finance and growth depends on a specific type of financing. I construct a novel panel data set for 34 high income countries over the time period from 1995 to 2014 based on financial accounts data. It allows distinguishing between...

Persistent link: https://www.econbiz.de/10011962798

Natural resources, demand for external finance and financial development

Hattendorff, Christian - 2014

The paper contributes to the ongoing debate on the natural resource curse, which postulates a negative link between natural resource abundance and economic growth. It shows empirically that resource-rich countries appear to have a less developed financial system and investigates a potential...

Persistent link: https://www.econbiz.de/10010433905

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