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Gourdel, Régis; Maqui, Eduardo; Sydow, Matthias - 2019

This paper presents a model for stress testing investment funds, based on a broad worldwide sample of primary open-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country-level portfolio flows worldwide that are constructed...

Persistent link: https://www.econbiz.de/10012142167

Investment Funds Under Stress

Gourdel, Régis - 2019

Persistent link: https://www.econbiz.de/10012860195

Is the EU money market fund regulation fit for purpose? Lessons from the COVID-19 turmoil

Capotæa, Laura-Dona; Grill, Michael; Molestina Vivar, Luis - 2022

The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU's regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that...

Persistent link: https://www.econbiz.de/10014278421

Mutual funds and safe government bonds: Do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://www.econbiz.de/10014543600

A deep dive into the capital channel of risk sharing in the euro area

Martín Fuentes, Natalia; Born, Alexandra; Bremus, Franziska - 2023

This paper investigates the contribution of capital markets to international risk sharing in the euro area over the 2000Q1-2021Q1 period. It provides three main contributions: First, the estimation of country-specific vector autoregressions (VAR) shows that shock absorption through capital...

Persistent link: https://www.econbiz.de/10014543634

"Glossy green" banks: The disconnect between environmental disclosures and lending activities

Giannetti, Mariassunta; Jasova, Martina; Loumioti, Maria; … - 2023

Using confidential information on banks' portfolios, inaccessible to market participants, we show that banks that emphasize the environment in their disclosures extend a higher volume of credit to brown borrowers, without charging higher interest rates or shortening debt maturity. These results...

Persistent link: https://www.econbiz.de/10014543654

Is home bias biased? New evidence from the investment fund sector

Lambert, Claudia; Molestina Vivar, Luis; Wedow, Michael - 2024

development and familiarity (language and distance) are considered key determinants for home bias. The literature neglects however … for this misclassification. First, we find substantially smaller home bias estimates compared to those in the literature …. Second, the explanatory power of plausible home bias determinants is lower than previously documented. Third, familiarity …

Persistent link: https://www.econbiz.de/10014543679

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

Persistent link: https://www.econbiz.de/10012422114

Investing in crises

Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

Persistent link: https://www.econbiz.de/10012605244

The euro and international capital markets

Detken, Carsten; Hartmann, Philipp - 2000

This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both from the viewpoint of international financing as well as from...

Persistent link: https://www.econbiz.de/10011604065