01381nam a22001937a 4500 190323b xxu||||| |||| 00| 0 eng d 0304-405X Cyclical investment behavior across financial institutions / by Yannick Timmer Yannick Timmer Amsterdam Elsevier August 2018 Pages 268-286 Journal of Financial Economics 129 (2) 0304-405X Abstract 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. Portfolio allocation Investment behavior Financial markets Debt securities Balance sheet constraints lcc SE 361362 361362 0 0 lcc 0 CL CL PER 2019-03-23 0 2019-03-23 00:00:00 2019-03-23 SE