Frey, Rainer; Weth, Mark - 2019
For the largest 55 German banks, we detect the presence of countercyclical yield seeking in the form of acquisition of … high-yielding periphery bonds in the period from Q1 2008 to Q2 2011. This investment strategy is pursued by banks not … subject to a bailout, banks characterised by high capitalisation, banks that rely on short-term wholesale funding, and trading …