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Institutional Herding In Bond Markets
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Book Synopsis Institutional Herding in Bond Markets by : Andreas Oehler
Download or read book Institutional Herding in Bond Markets written by Andreas Oehler and published by . This book was released on 2002 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research has shown that institutional herding is a relevant phenomenon in stock markets. Do institutional investors also follow each other in bond markets? This paper focuses on the German bond market and uses data from 57 German mutual funds that invest mainly in DM-denominated bonds, which represents 71% of the total market volume. Due to the variety and large number of bonds that exist, we do not expect mutual funds to herd with regard to separate bonds. We believe instead that bonds with the same characteristics such as interest rate, maturity, collateral, or issuer are considered to be equivalent by institutional investors. Consequently, we construct quot;bond groupsquot; consisting of similar bonds and analyze herding at a quot;bond groupquot; level. Our results indicate that there is strong evidence of herding, albeit it is weaker than in stock markets. Further analysis suggests that mutual funds do not place an equal weight on different bond characteristics. Nominal interest rates appear to be most important in the bond selection process.Behavioral Finance.
Book Synopsis Institutional Herding and Its Price Impact by : Fang Cai
Download or read book Institutional Herding and Its Price Impact written by Fang Cai and published by . This book was released on 2017 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the extent to which institutional investors herd in the U.S. corporate bond market and the price impact of their herding behavior. We find that the level of institutional herding in corporate bonds is substantially higher than what is documented for equities, and that sell herding is much stronger and more persistent than buy herding. The price impact of herding is also highly asymmetric. While buy herding facilitates price discovery, sell herding causes transitory yet large price distortions. Such price destabilizing effect of sell herding is particularly pronounced for speculative-grade, small, and illiquid bonds, and during the financial crisis.
Book Synopsis Institutional Herding in the Corporate Bond Market by : Fang Cai
Download or read book Institutional Herding in the Corporate Bond Market written by Fang Cai and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Herd Behavior in Financial Markets by : Sushil Bikhchandani
Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contrarian Investment Strategies by : David Dreman
Download or read book Contrarian Investment Strategies written by David Dreman and published by Simon and Schuster. This book was released on 2012-01-10 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces important new findings in psychology to demonstrate why most investment strategies are flawed, outlining atypical strategies designed to prevent over- and under-valuations while crash-proofing a portfolio.
Book Synopsis Bond Market Investor Herding by : Emilios C. Galariotis
Download or read book Bond Market Investor Herding written by Emilios C. Galariotis and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: During the recent financial crisis, numerous EU officials, market participants and the media suggested that irrational herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd behavior in European government bond prices and, overall, we find no evidence of investor herding either before or after the EU crisis. We do find, however, in an original contribution to the bond market literature, strong evidence that during the EU crisis period, macroeconomic information announcements induced bond market investor herding; a finding that confirms the notion of' 'spurious' herding proposed by Bikhchandani and Sharma (2001) for bond markets. Further tests reinforce this finding and also indicate the existence of herding spill-over effects.
Book Synopsis Market Tantrums and Monetary Policy: Proceedings of the U.S. Monetary Policy Forum 2014 by : University of Chicago
Download or read book Market Tantrums and Monetary Policy: Proceedings of the U.S. Monetary Policy Forum 2014 written by University of Chicago and published by . This book was released on 2018-12-31 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Introduction to Bond Markets by : Reuters Limited, London, UK
Download or read book An Introduction to Bond Markets written by Reuters Limited, London, UK and published by Wiley. This book was released on 2000-03-16 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Bond Markets introduces novices to bonds, notes, derivatives and other instruments used in the world's largest markets. Readers will learn how these products are traded and quoted in the financial markets. This comprehensive guide bridges the gap between academic texts that are often too theoretical, and the more technical practitioner's works. Key features include: * Introductory sections defining terms and giving background to theories * Examples and calculations of various types of bond market instruments * Summaries and overviews at the end of each chapter recapitulating key points and definitions * Quick quiz questions and answers to reinforce learning * Further resources which point to other books, articles and internet tools to widen readers' comprehension and entrench their foundation in the subject. Each book in the series is supported by the Wiley-Reuters Financial Training web site (www.wiley-rft.reuters.com). This regularly updated site offers a range of screens taken directly from the Reuters terminal, information on professional exams, web links to key institutional finance web sites and much more. Endorsed by the ISMA Center - the Business School for Financial Markets at the University of Reading, UK, this book will be of particular interest to novice traders, investors and trainers in financial institutions looking for a key introductory text. Key concepts are illustrated with excellent real world examples, exercises and screen dumps while still recognising that most readers will not trade bonds or become pricing technicians.
Book Synopsis Herding of Institutional Traders by : Stephanie Kremer
Download or read book Herding of Institutional Traders written by Stephanie Kremer and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds new light on herding of institutional investors by using a unique and superior database that identifies every transaction of financial institutions. First, the analysis reveals herding behavior of institutions. Second, the replica- tion of the analysis with low-frequent and anonymous transaction data, on which the bulk of literature is based, indicates an overestimation of herding by previous studies. Third, our results suggest that herding by large financial institutions is not intentional but results from sharing the same preference and investment style. Fourth, a panel analysis shows that herding on the sell side in stocks is positively related to past returns and past volatility while herding on the buy side is nega- tively related to past returns. In contrast to the literature, this indicates that large financial institutions do not show positive feedback strategies. -- Investor Behavior ; Institutional Trading ; Stock Prices
Download or read book Differences in Herding written by Wei Li and published by . This book was released on 2015 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a trading volume-based measure, we study the differences between institutional and individual investors in herding. First, better-informed institutional investors trade more selectively, whereas less-informed individuals allocate their investments evenly across stocks. Second, individual investors rely more on public information for their trades as they are influenced by market sentiment and attention-grabbing events. Third, institutional investors react asymmetrically to up- and down-market movements, whereas individual investors do not. Finally, despite these differences in herding both individual and institutional investors pay close attention to one another's trades in forming a consensus.
Book Synopsis Strategies of Banks and Other Financial Institutions by : Rajesh Kumar
Download or read book Strategies of Banks and Other Financial Institutions written by Rajesh Kumar and published by Elsevier. This book was released on 2014-07-16 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: How and why do strategic perspectives of financial institutions differ by class and region? Strategies of Banks and Other Financial Institutions: Theories and Cases is an introduction to global financial institutions that presents both theoretical and actual aspects of markets and institutions. The book encompasses depository and non-depository Institutions; money markets, bond markets, and mortgage markets; stock markets, derivative markets, and foreign exchange markets; mutual funds, insurance, and pension funds; and private equity and hedge funds. It also addresses Islamic financing and consolidation in financial institutions and markets. Featuring up-to-date case studies in its second half, Strategies of Banks and Other Financial Institutions proposes a useful theoretical framework and strategic perspectives about risk, regulation, markets, and challenges driving the financial sectors. Describes theories and practices that define classes of institutions and differentiate one financial institution from another Presents short, focused treatments of risk and growth strategies by balancing theories and cases Places Islamic banking and finance into a comprehensive, universal perspective
Book Synopsis Essays on Institutional Investors in the Bond Market by : Yifan Yu
Download or read book Essays on Institutional Investors in the Bond Market written by Yifan Yu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters on institutional investors in bond market. Chapter 1 examines duration hedging behavior in corporate bond market by studying investment decisions of life insurance companies, the largest institutional investors in this market. I find that life insurers are tilting their corporate bond portfolios towards bonds with higher duration as interest rates decrease to historical lows since the 2008 financial crisis. This hunt-for-duration behavior is due to life insurers' interest rate risk hedging to ensure better duration matching between their assets and liabilities. I further show that hunt-for-duration by life insurers can drive overpricing of corporate bonds when negative monetary policy surprises hit. Chapter 2 investigates how the risk-based capital (RBC) reform in insurance industry initiated in year 1993 affects life insurers' investment behavior in corporate bonds, and how RBC-induced distortion in insurers' investment practices could have an impact on credit allocation, and ultimately real investment in the economy. Following the reform, I observe that insurers tilt their portfolios towards the lowest rated corporate bonds within a bond risk category defined by the RBC rule. Through shifting insurers' bond demand, I find that the RBC reform changes the credit supply conditions to a particular group of firms: those that have credit ratings barely fitting into a low-risk category and belong to industries where insurers hold more corporate bonds before the reform. Furthermore, I find that these firms take advantage of the more favorable credit allocation conditions to increase investment and employment after the reform. These results highlight a channel through which regulatory reform in insurance industry can bear real consequences.Chapter 3 studies whether life insurers rebalance their bond portfolios during Quantitative Easing (QE) programs initiated by the Federal Reserve (Fed) since the 2008 financial crisis. I find that life insurers sell QE securities and replace them with corporate bonds over certain QE periods. Moreover, life insurers rebalance toward corporate bonds in the lowest rating tier within a risk category defined by the RBC rule under which insurers are regulated. Overall, these findings show that QE's portfolio rebalancing channel can work through the life insurance sector.
Book Synopsis Essays on Institutional Investors in Corporate Bond Markets by : Minchen Zheng
Download or read book Essays on Institutional Investors in Corporate Bond Markets written by Minchen Zheng and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter aims to fill this gap by providing the first empirical evidence of bond return comovement driven by bond ETFs ownership. I find that bond ownership by corporate bond ETFs leads to higher bond return comovement, an increase of 0.26 in the beta of corporate bond return with respect to the aggregate bond portfolio. In contrast, bond ownership by other traditional institutional investors in the corporate bond market like bond mutual funds and insurance companies do not contribute to corporate bond return comovement. Furthermore, this chapter highlights that return comovement is driven by corporate bond ETFs’ creation and redemption activities.
Book Synopsis Diversification and Portfolio Management of Mutual Funds by : G. Gregoriou
Download or read book Diversification and Portfolio Management of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-17 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance. This book is a crucial tool for any investor looking to improve the profit gain from their investment.
Book Synopsis The Price Impact of Institutional Herding by : Amil Dasgupta
Download or read book The Price Impact of Institutional Herding written by Amil Dasgupta and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Efficient Market Theory and Evidence by : Andrew Ang
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Book Synopsis The Risks of Financial Institutions by : Mark Carey
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
