عنوان انگلیسی مقاله:
Cyclical investment behavior across financial institutions
ترجمه فارسی عنوان مقاله:
رفتار سرمایه گذاری چرخه ای دربین موسسات مالی
Journal of Financial Economics Volume 129, Issue 2, August 2018, Pages 268-286
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.
keywords: Portfolio allocation |Investment behavior |Financial markets |Debt securities |Balance sheet constraints
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