01144nam a22001097a 4500008004100000022001400041245009900055260003700154300001800191440005500209500077000264190323b        xxu||||| |||| 00| 0 eng d  a0304-405X  aCyclical investment behavior across financial institutions / by Yannick TimmercYannick Timmer  aAmsterdambElseviercAugust 2018  aPages 268-286  aJournal of Financial Economicsv129 (2)x0304-405X  aAbstract
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.