| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15123 |
| DP15123 Procyclical Asset Management and Bond Risk Premia | |
| Alexandru Barbu; Christoph Fricke | |
| 发表日期 | 2020-08-02 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower rated securities as yields fall and spreads compress, and vice versa. Funds more exposed to negative yields increase their risk-taking more strongly, and this effect is particularly pronounced for those offering explicit minimum return guarantees. Institutional funds' investments have large and persistent price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by career concerns among institutional fund managers. |
| 主题 | Financial Economics |
| 关键词 | Institutional funds Institutional accounts Procyclical asset management Port- folio rebalancing Price impact Demand pressures Asset price volatility Career concerns |
| URL | https://cepr.org/publications/dp15123-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544083 |
| 推荐引用方式 GB/T 7714 | Alexandru Barbu,Christoph Fricke. DP15123 Procyclical Asset Management and Bond Risk Premia. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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