000			01381nam a22001937a 4500
008			190323b xxu||||| |||| 00| 0 eng d
022			_a0304-405X
245			_aCyclical investment behavior across financial institutions / by Yannick Timmer _cYannick Timmer
260			_aAmsterdam _bElsevier _cAugust 2018
300			_aPages 268-286
440			_aJournal of Financial Economics _v129 (2) _x0304-405X
500			_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.
690			_aPortfolio allocation
690			_aInvestment behavior
690			_aFinancial markets
690			_aDebt securities
690			_aBalance sheet constraints
942			_2lcc _cSE
999			_c361362 _d361362