01474nam a22002057a 4500008004100000022001400041245009900055260003700154300001800191440005500209500077000264690002501034690002401059690002201083690002001105690003001125942001201155999001901167952008201186190323b        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.  aPortfolio allocation  aInvestment behavior  aFinancial markets  aDebt securities  aBalance sheet constraints  2lcccSE  c361362d361362  00102lcc40aCLbCLcPERd2019-03-23l0r2019-03-23 00:00:00w2019-03-23ySE